The former Rovers player lasted just 57 days in the Ewood Park hotseat before losing his job on Thursday.
But he has backed the club to improve on a poor run of form that has seen them claim just one win in their last 10 Championship matches and described the chance to manage the club as an "honour."
"It goes without saying that I am bitterly disappointed to have been relieved of my managerial duties at Ewood Park after just 57 days since my appointment," Berg said in a statement released by the League Managers' Association.
"At this stage I would just like to release a short statement thanking the Blackburn Rovers fans for their incredible support during my time in charge.
"I have always enjoyed a fantastic relationship with them dating back to my playing days where we shared some great memories.
"It was an honour for me to manage a club that is so close to my heart and I now wish all of them every success for the rest of the season and beyond.
"I would also like to thank the players and staff for their support and commitment in this short period. They have all done their best and unfortunately the results in these ten games have not reflected their performances.
"I wish the club all the best in the future, and I am sure that with a few additions in the January transfer window, they will have a good chance of getting a play-off place."