Grealish was initially called up for the Three Lions' 33-man training squad, but was one of seven players who did not make the final squad for Germany.
England reached the final, losing 2-1 to Spain.
The 29-year-old has been back in the fold under interim manager Lee Carsley, and impressed in September's Nations League matches against the Republic of Ireland and Finland.
"I will be honest with you, I didn’t really agree with it," Grealish told BBC Radio 5 Live of Gareth Southgate's decision not to include him among the final 26 players.
"You need a bit of a balance in every position on the pitch and I class myself [as] quite an experienced player now.
"I have won a lot of stuff now so, you asked me should I have gone, yes, I still think I should have, but obviously it wasn't meant to be."
Grealish started just 10 league matches for Manchester City in the 2023-24 season, scoring three goals and providing one assist.
While he admitted that he "didn’t have the best season" domestically, he was left "devastated" by his omission and said that missing out on Euro 2024 was "probably the most difficult period of my life".
Grealish scored in England's 2-0 victory over Ireland in Dublin last month, and will be hoping for more of the same against Greece and Finland in the coming week.
Asked if he felt he had a point to prove, Grealish made it clear that he wanted to show people what England were missing at Euro 2024.
"Of course, I wanted to come here and train well and play well," he said.
"I thank Lee Carsley for giving me that chance and having that trust in me.
"It obviously really meant a lot. I think throughout my career when I have played under managers who have shown trust in me and communicated with me the way he has the last two camps, it really helps me.
"It makes me feel that the manager really does rate me and I can't speak highly enough of him since I have been here."
