The Belgium international joined Chelsea from Lille over the summer after also attracting interest from fellow Premier League clubs Manchester City and Manchester United.
He has enjoyed an impressive start to his new career in England, despite seeing Di Matteo dismissed by the European champions last month following an indifferent run of form.
Rafa Benitez has been placed in interim charge and Hazard concedes he was aware of Chelsea's reputation for changing managers on a regular basis before he decided to sign.
Hazard told The Independent: "Look, I knew before I came here where I was 'putting my feet' and the sort of club I was coming to. I knew that Chelsea was a club that changed its manager reasonably often.
"Obviously I didn't intend it to be that quick because Di Matteo was the person who signed me and I was looking forward to a relationship and working with him for some time. But, I don't have any regrets.
"We have a new manager now and again it is about stressing we must try to get as high as we can up the table, go as far as we can in the cups, play well and win as many trophies as we can.
"I think it's the first time it has happened to me in my career when a manager has gone. It's never easy. It's something that is part of football life.
"We have to put our disappointment to one side. Although I was sorry because he was the manager who signed me."
Though Hazard was a target for several Premier League clubs, the playmaker outlined why he accepted the opportunity to join Chelsea.
He added: "Out of all the clubs who were interested I got the feeling that deep down Chelsea showed that they really wanted me.
"There were lots of reasons I came to Chelsea. They showed a real desire to get me to come here. I didn't have to think about it too much. On top of that I was aware London is a nice place to come.
"But the main thing has been to do well and I feel like I have. Hopefully I can repay that trust."
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