The Playboy founder became engaged to Harris on Christmas Eve 2010, but the wedding was called off in June.
Hefner told CNN's Piers Morgan: "I think the real problems began a couple of months before the wedding... We went to London, about five or six weeks before, and things did not seem quite the way they ought to be. She was preparing a song for the first time and I think her focus was on that.
"But in the weeks immediately afterward, as we got very close to the marriage, you know, something was not right. But I didn't see it coming, I truly didn't see it coming."
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Hefner added that Harris had expressed doubts about getting married the week before the ceremony, which was planned for June 18.
"The previous weekend, she and I went to a jazz festival, and when we got back from the festival, we sat down and she said that she was really having some serious reservations about the marriage - not about the relationship, but about the marriage," he explained.
"I said, 'Look, the marriage is not the important part to me, the relationship is important. If you're happier single, that's okay with me, we can work out the details'. That was only half the story obviously, because the next morning, without my knowledge, she was packing the bags."
Hefner also revealed that he had made the commitment because he felt that he had "not been there" for former girlfriend Holly Madison "in the way that she wanted me to be".
"You know, I was ready to settle down, I figured it was about time!" the 85-year-old quipped.
Piers Morgan Tonight is broadcast weeknights at 9pm ET on CNN and at 8pm UK time on CNN International.
Watch a clip from Hugh Hefner's interview on Piers Morgan Tonight below: