The 27-year-old left the Elland Road side to join Fulham in a deal worth a reported £11m earlier this month.
Cellino insists that he wanted to keep the striker, but that McCormack had already decided that he wanted to leave the Championship side to seek pastures new.
Cellino told reporters: "I didn't want to sell McCormack because for me, he was the best player we had. He scored 29 goals. I was hoping to keep a player who guaranteed us at least 15 goals and McCormack would do it.
"I'm very unhappy because McCormack decided to go for another experience. Afterwards he told me he was proud to be at Leeds and I was proud too."
Leeds begin their Championship campaign with a home game against Millwall on Saturday, August 9.