In a letter posted on his political action committee's Web site, Feingold said he was excited that Tuesday's elections gave Democrats control of both chambers of Congress, giving them the chance to "undo much of the damage that one-party rule has done to America."
"We can actually advance progressive solutions to such major issues as guaranteed health care, dependence on oil and our unbalanced trade policies," he wrote.
Feingold, 53, told the Milwaukee Journal Sentinel he realized he would be a long-shot candidate in a bid for the presidency.
He said running as an underdog appealed to him, but not the way it would "dismantle" his work in the Senate and his personal life.
An outspoken opponent of the Iraq war, the Patriot Act and other Bush administration policies, Feingold had formed his PAC, the Progressive Patriots Fund, and visited key presidential primary states such as Iowa and New Hampshire.
Still, he said he started the process more predisposed against a run than for it.
"I began with the feeling I didn't really want to do this but was open to the possibility that getting around the country would make me want to do it. That never happened," he told the newspaper in a story posted on its Web site late Saturday.
Feingold leaves a crowded field of possible Democratic candidates, including Iowa Gov. Tom Vilsack, who announced his candidacy last week.
U.S. Sen. Hillary Rodham Clinton of New York is widely considered the front-runner for the nomination. Others considering or positioning themselves for a run include U.S. Sen. John Kerry of Massachusetts, the 2004 Democratic nominee; former U.S. Sen. John Edwards of North Carolina, the vice presidential nominee two years ago; U.S. Sens. Evan Bayh of Indiana, Joe Biden of Delaware and Christopher Dodd of Connecticut; and New Mexico Gov. Bill Richardson.
Former Virginia Gov. Mark Warner announced last month that he was bowing out of the race.
Feingold said he had come closer to making his decision in the past few weeks, and the final factor came when Democrats won both chambers of Congress because it provided added appeal to focus on work in the Senate.
Feingold spokesman Zach Lowe did not immediately return a telephone message from The Associated Press early Sunday seeking comment.