The behind-the-scenes show was axed by BBC Three controller Zai Bennett in late September.
"[I was] really sorry," Smith told What's On TV. "It's a pity as I think it's a show which can reinvent itself year on year and it's one of the biggest shows on BBC Three."
Bennett previously defended his decision, explaining that BBC Three is focusing investment on original commissions in the future.
"I guess people come in and have new ideas and want to have their own fresh take on it," said Smith. "But, hey, some you win, some you lose."
Following the Confidential cancellation, Doctor Who fans began a campaign on Twitter to resurrect the show.
The final Doctor Who Confidential instalment, 'When Time Froze', aired on October 1 on BBC Three.
> Doctor Who Confidential: Should it be saved? - poll
Watch the prequel to this year's Doctor Who Christmas special below: