The two heavyweights went toe-to-toe in a thrilling fight almost 12 months ago which Joshua won via an 11th-round knockout.
But Klitschko turned down a $30million (£22m) rematch and decided to instead hang up his gloves.
“The way I boxed was the way I acted my life,” said Klitschko.
“I have to make sure everything sits.
“And I knew my stocks went up after I lost for some weird reason, but it was the most complicated and difficult decision of my life ever.
“For 27 years I’ve been doing it and then when you know you gotta pull the plug that’s it, it’s done.”
“So I was saying to myself ‘Wlad c’mon man you gotta make a decision’, because one day I’d wake up and say yes I’m gonna go for it, then second day I’d wake up and say wait a second it’s about AJ, it’s about rematch.
“So you have to be honest with yourself what is your gut feeling saying coz [sic] as soon as your brain turns on, you’re gone.”