The Zimbabwe-born singer was eliminated by Cole at the Judges' Houses stage of the ITV contest, losing out to Cher Lloyd, Rebecca Ferguson and Katie Waissel.
The decision sparked outrage amongst viewers, though Nhengu has now accepted that she was not the right "fit" for Cole.
"'I can see now why it happened. I didn't have the right street image like Cher. I just didn't fit the bill for Cheryl," she told the Daily Mail. "It's not easy but I understand that it's a competition and that is the way it goes. I hold no ill feeling."
Nhengu added that she was "grateful" to have been part of The X Factor at all.
"It wasn't an easy experience but I'm able now to look back on it from a distance and see what it gave me, and I'm grateful for that," she said.
Nhengu also dismissed suggestions that Simon Cowell had assisted her battle to avoid deportation from the UK, arguing: "Why would they remain in touch once I'd been evicted from the show?"
Nhengu and her family won the right to stay in the country this week after the Home Office failed to overturn the decision not to deport them.
> Gamu Nhengu: 'X Factor would have diluted me'