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."
"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."
"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."
