Bamford shone in another loan spell at Middlesbrough last season, scoring 17 league goals for the Championship team, but has yet to start a Premier League match this term.
"This was my last game for Palace," he was quoted as saying by the Daily Mail newspaper after making his sixth league appearance for the club as a substitute in Monday's 0-0 draw at home to Swansea City.
"If I were being honest it has been terrible. No one wants to sit on the bench and not play.
"I would have been more content if I had been given a chance and not taken it. I haven't started a game in the Premier League so for a young player like me, that is not what you need," added the 22-year-old Bamford.
"I was frustrated because there weren't many strikers scoring. Connor (Wickham) only scored his first goal last week... if you are not playing and the other strikers aren't scoring and you are not getting a chance, obviously I was pulling my hair out."
England under-21 international Bamford has never played a first-team game for Chelsea but signed a three-year contract with the Stamford Bridge club six months ago.
He also had a successful six-month loan spell at Championship club Derby County in 2014, scoring eight goals in 14 league starts.
The draw with Swansea kept Palace fifth in the league, eight points behind leaders Arsenal after 19 matches.
(Writing by Tony Jimenez; Editing by John O'Brien)
