New Hammers co-chairman Gold was involved in talks with the Eagles but opted to take over at Upton Park with David Sullivan.
He said: "In a way I feel a bit guilty I was associated with the club and it never happened. I was talking to certain people and I'm saddened - but equally you can understand the draw of West Ham.
"Your first choice is always going to be the club you supported and my roots are with West Ham.
"Now I can only wish Palace well."