The Dutch coach was sacked at the end of October following the club's dismal start to the season, and he expressed his surprise at their decision to let Messi leave before signing Ferran Torres in January for 55 million euros.
"I accepted the departure of certain players due to the club's insistence, so that they could put the finances in order," Koeman told the Algemeen Dagblad.
"Why did Messi have to go?"
Barcelona invested significantly over the January transfer window, and Koeman went on to add that he would have liked to have been able to work with the calibre of players that have been brought in.
"I would have also liked [those players]," he said.
"But I am happy for the club because things are going better and for the players."