The Eagles released a statement on Monday confirming that the Dutchman has left Selhurst Park after just 77 days in charge.
The former Ajax box failed to guide his team to a single Premier League victory, in the end losing all four and failing to score a goal in any.
Conte, who was at the centre of quit rumours before he signed a new two-year deal at Chelsea in the summer, believes that it was an "emotional" decision by Palace.
"I'm sorry for him," the London Evening Standard quotes the ex-Italy boss as saying. "When you start to work, you try to ask for a bit of time for your work. I'm sorry for him because to be a coach in the league is a great experience and to finish this experience after only four games I'm sorry for him.
"It's a pity. It's always very difficult to speak about the situations of other teams. I'm sorry for the man. We know very well our job is this. One game you win, you are on top, another game you lose and you are the worst coach. This is normal, not only in England, in the whole world.
"I think it's important to have always the right balance in the judge. I think every club must judge the work of the coach and sometimes there is a bit of emotion and you take decisions very strong following an emotional moment."
Former England manager Roy Hodgson is the current favourite to take over.