Whelan, 75, played for Blackburn for more than a decade and broke his leg during their 1960 FA Cup final against Wolverhampton Wanderers.
His playing career never really recovered and he quit soccer early, started a business and became a multi-millionaire.
While admitting his delight at Wigan's survival and praising his coach Roberto Martinez, he also spared a thought for Rovers who go down after 11 seasons in the top flight.
"I am really sorry we put Rovers down," Whelan told the BBC. "I have mixed feelings because I had 11 years at Blackburn as a player.
"We had a tough start to the season though Roberto Martinez always believed, and I believed in him. As the season has gone along we have played better and better and Roberto has proved he is a top-quality manager.
"Hopefully we can keep hold of him for another two to three years. Eventually he will move on and he will go with our very best wishes and a big thank you from everyone at Wigan Athletic."
The win at Ewood Park, where captain Antolin Alcaraz headed the late winner to send Rovers down, took Wigan to 40 points and safety with one match to spare and guaranteed them an eighth season in the Premier League.
"It was incredible - it is an incredible achievement," Spaniard Martinez told reporters. "To come here and hold our nerve and not panic shows a real mature side of the squad.
"They deserve this incredible achievement. Eight seasons in the Premier League is something remarkable for our football club and I think it is time to celebrate."
Two months ago Wigan, who were in the bottom three from the beginning of October until the beginning of April and lost eight successive matches at one stage, seemed destined for the drop.
However, draws against Norwich City and West Bromwich Albion and a surprise 2-1 win at Liverpool in March galvanised their season and they have won six of their last eight games, including victories over Manchester United, Arsenal and Newcastle United.
Last year, Wigan stayed up on the final day with a win at Stoke City.
"This group of players deserve huge credit," Martinez told Sky Sports. "It has to be a key moment in our history. We have to kick on and make the step up, not be a team that is always fighting relegation."
