Carwyn Jones was speaking in support of a fight to retain the service in the face of plans to scrap it.
The base in Pembrey, Carmarthenshire, is closing in 2016 due to cuts by the National Police Air Service (NPAS).
Mr Jones said the issue was not devolved and "we wouldn't be where we are if it was".
He added: "Once again we're seeing Wales lose out because of the fact that policing is not devolved."
When the NPAS announced in February it was cutting the number of bases across Wales and England to 15, it said it faced budget cuts of 14% over three years on top of 23% savings already made.
Helicopter cover is continuing from St Athan, Vale of Glamorgan, and Hawarden, Flintshire, as well as bases in England.
The Dyfed-Powys Police helicopter is a valuable service making a difference to communities "every day", the first minister has said.