The pair cancelled their plans to tie the knot last month just days before the ceremony was due to take place after Harris experienced a "big change of heart".
Harris later claimed that she broke off the engagement as it "wasn't right" and revealed that she had initially planned to jilt the 86-year-old at the altar.
Hefner has since admitted that he is happy about the turn of events, telling Entertainment Tonight: "Holly [Madison] suggested that I missed a bullet, and I think it's probably true.
"Quite frankly, I don't know what I was thinking about. I think my natural state is single. I've tried marriage twice, not successfully. These were not the happiest times of my life."
However, Hefner also said that he was disappointed in the way Harris handled the situation, adding: "If you're having reservations about the person you've been with for two-and-a-half years, the logical thing is to sit down and talk about it."
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Watch a clip from Hugh Hefner's recent appearance on Piers Morgan Tonight below: