Grealish was among the high-profile names that missed out on a call-up to Germany, where England lost to Spain 2-1 in the final.
Manchester United centre back Harry Maguire, Tottenham Hotspur midfielder James Maddison and Everton centre back Jarrad Branthwaite were the other notable absentees.
Grealish, capped 38 times for England, scored three goals in 20 appearances for Manchester City in the Premier League last season.
"I will be honest with you - I didn't really agree with it," Grealish told BBC Radio 5 Live on Tuesday.
"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 earned a recall when Carsley, who was appointed interim manager following Southgate's resignation after the Euros, named him in his first squad in August.
"I thank the manager Lee Carsley for giving me that chance and having that trust in me," Grealish said.
"It obviously really meant a lot. I think that 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."
