Thiem took part in the Belgrade leg of the exhibition event organised by Djokovic where social distancing was minimal and matches were played in front of thousands of fans.
World No 1 Djokovic, Grigor Dimitrov, Borna Coric and Viktor Troicki all tested positive to Covid-19 after an event where players embraced across the net, played basketball and went to a nightclub.
Thiem, who left for an exhibition tournament in France after Belgrade, says he has tested negative five times since leaving the Balkans.
“I was shocked when I got the news from the Adria Tour,” he wrote on social media in his first public reaction since the tournament was cancelled on Sunday.
“We played without any audience for weeks, so we have been more than happy about the fans at the event.
“We trusted the Serbian government’s coronavirus rules, but we have been too optimistic.”
He continued: “Our behaviour was a mistake, we acted too euphorically. I am extremely sorry.”
“I’ve been tested five times in the past 10 days and each time and the result was always negative,” he revealed.
Djokovic, 33, has come in for heavy criticism over the debacle, saying on Tuesday that he was “so deeply sorry” that the tournament “caused harm”. His wife Jelena has also tested positive.
The affair has raised concern over the planned restart of professional tennis in August, including the US Open which is scheduled to begin on August 31.