Midfielder Ambrose turned down the chance to join QPR in May 2010, but he chose to stay with Palace despite the club being in administration at the time.
"I was close to joining QPR when the club were in administration. They accepted a fee of £750,000 but I always wanted to stay," Ambrose said.
"I was enjoying myself here. I'd just had the best season of my career and then the new owners came in, and they made it clear they wanted me to stay.
"When you think where this club was two years ago — it was a bad place. The club was almost not here."
Palace face Cardiff City tonight after winning the first leg of the semi-final 1-0.
"This semi-final is a great reward and compliment to the players and the owners. We now have to go out there and enjoy it," Ambrose added.
Palace are currently 14th in the Championship, while Cardiff are third.