The entrepreneur, who founded Playboy magazine in the early 1950s, also suggested that the show may have been better appreciated on a different network.
Writing on his official Twitter account, Hefner said: "I'm sorry NBC's The Playboy Club didn't find it's (sic) audience. It should have been on cable, aimed at a more adult audience.
"Fans of The Playboy Club are really upset at the cancellation."
However, Hefner hinted at a new project exploring his life and the creation of Playboy, adding: "At the same time, there is renewed studio interest in a major motion picture on my life & the start of the Sexual Revolution."
The Playboy Club - which has suffered from poor ratings and negative reviews - was officially cancelled by the Peacock Network on Tuesday and will be replaced by Brian Williams magazine show Rock Centre and repeats of Prime Suspect, starring Maria Bello.
The Parents Television Council (PTC) had also campaigned for The Playboy Club to be axed, labelling it as "degrading and sexualising".
Hefner also retweeted a number of comments from users of the social networking site supporting The Playboy Club and criticising the attitude of parents' groups like the PTC.