The Leonard Cohen: Bird on a Wire and The World of Liberace director also told Digital Spy that he turned down the chance to work with U2 before they made Rattle and Hum.
"I missed my chance with Adele," Palmer said.
"My wife had spotted Adele long before she had become really famous and said, 'You've got to listen to this voice, it's really amazing'.
"I agreed it was amazing, but I said, 'I don't make that kind of film anymore'. Then I saw a brief interview with her and I thought, my god this is a fascinating woman - to hell with the voice, it's a fascinating woman."
He added: "I immediately applied. I wrote to them, saying 'Would you ever consider...' I had a very good response from whoever looked after her then. But then there was the 21 album.
"Now she's surrounded by 18 record executives. The real Adele would make an absolutely fascinating film, I think. Of that world. But that's never going to happen. It would be hopeless, hopeless, hopeless."
Palmer said: "In the dim and distant past - this is very indiscreet, but there you are - long after I stopped making films about rock 'n' roll musicians - I was approached in a completely roundabout way to make the official film about U2.
"Bono is not my favourite person in the world, however I am aware of their impact. I ummed and aahed. I couldn't find anything about them that I felt I could actually respond to and therefore contribute.
"I didn't just want to come and point the cameras at them. They then did make their own official film [Rattle and Hum]."
U2: Rattle and Hum - trailer
He added: "I'm told on very good authority that they spent 12 million quid on it! In the end you just want to throttle the buggers, because all they're doing is telling you how wonderful they are.
"Well, we know that, if you see what I mean. You might not agree with it but we know that. And what a deeply spiritual journey they'd all gone through.
"I think it opened and closed on the same night. I doubt if anybody's ever seen it, except possibly you and me, and maybe Bono's grandmother."
Of the secret of making a good music documentary, Palmer said: "You've got to not interfere with them and what they're doing in any way whatsoever. You've not got to listen to all their bulls**t.
The Rolling Stones - Crossfire Hurricane - trailer
"In today's world of let's call it rock 'n' roll, it's very, very difficult. None of the films that have been made about The Rolling Stones get anywhere near to them as people.
"I made a film about Maria Callas. If I'm asked to describe that film, I would say this is a film about a woman who's in a hell of a mess. Brackets, oh by the way she's also a great opera singer.
"Rather than this is a film about a great opera singer, oh, by the way she's a woman in a hell of a mess. What I'm interested in is people, and making films about people."
He added: "I would want to make a film about Bono and why he does all the ridiculous things that he does and why he wears those silly glasses and so on. The music would take care of itself.
"I think the definition of a good music documentary is that the person who's making the film has to be first and foremost interested in the person.
"I think Bird on a Wire is about Leonard Cohen the man - by the way, he also sings. He also writes poems. But in the end, it's a film about a man. I think that's the secret of that kind of film."
Tony Palmer's Leonard Cohen: Bird on a Wire, All You Need Is Love: The Beatles, The World of Liberace and Frank Zappa's 200 Motels are out now on DVD via Boulevard Entertainment