Benteke left Liverpool for Palace in August in a deal worth up to £32m, but harbours no ill-feeling towards his former club.
"It was an honour to play for Liverpool, such a big club with such a big history," Benteke told Sky Sports.
"I didn't play or perform as I wanted. It was my decision to go there and I don't regret anything.
"I didn't have the chances to perform. I learned that's football. That is why I have no anger against anyone there.
"[The] frustration is at myself that in the short time I had to play I didn't do it as I wanted. Brendan [Rodgers] did everything for me to come there, then I had my injury and I couldn't help. I wanted to do more."