He wishes he would have stuck around in Phoenix -- a team he led to two Conference Finals -- and tried to win a title instead of bolting to coach the Knicks.
"I shouldn't have gone to New York," he told Shelburne.
"I should have stuck in there and battled. You don't get to coach somebody like him [Steve Nash] too many times. It's pretty sacred and you need to take care of it. I didn't."
He left after leading Phoenix to 55 wins and a first-round playoff loss to San Antonio in 2008.
"I think we got frustrated and I got frustrated. That's why I left," he said. "We were there, it seemed like we deserved it, and then it seemed like something happened all the time. Maybe we weren't good enough either. We have to understand that.
"I probably irrationally made a decision right when the season was over. You should take a month to figure it out. I shouldn't have left. That was my fault."
Reports at the time stated the parting was mutual because the Suns' front office wanted D'Antoni to hire a defensive assistant. But D'Antoni said he started conversations with the Knicks.
"No. It was me," he said. "I initiated it and I probably shouldn't have."
D'Antoni had a rocky three-and-a-half season tenure in New York. He finished 121-167 and stepped down in the middle of the 2011-12 season after losing a power struggle with Carmelo Anthony.