The Welsh Government ditched the idea last month after a feasibility study revealed costs of between £1.3bn and £1.5bn.
The Welshman told BBC Radio Wales it would have been a "magical" experience.
"It's a big loss for the nation, I truly believe that," he said.
Plaid Cymru and Tory politicians have attacked the decision not to bid.
And the Commonwealth Games Federation (CGF) said it was "surprised" by the figures quoted, with the 2014 Glasgow Games having cost £543m.
TV pundit Jackson said: "When you go to major championships like this you really feel the feeling of the general public as well - not just the athletes.
"It really lifts their performance when they get to these competitions on home soil.
"For us to miss out on that magical, magical feeling of games... here in Wales would have been something."
Former world hurdles record holder Colin Jackson has expressed disappointment that Wales will not bid for the 2026 Commonwealth Games.