McIlroy, who was playing with South African Els at PGA National, withdrew after slumping to seven over par through eight holes of his second round on Friday.
Initially he said he was not in a "good place mentally" before later blaming a painful wisdom tooth for his withdrawal.
The Northern Irishman has since conceded he was wrong to walk out on the tournament where he was the defending champion but the experienced Els wishes he had said something to him.
"I must say, when I shook his hand on 18, I wanted to say something to him, but I didn't, and I kind of regret that. It was obviously a heat of the moment thing. He is who he is. You've got to respect what the individual at that moment is like, and he wanted to get off," Els said.
"We obviously heard that he had his wisdom tooth was bothering him, and if that was the reason, that was that. I would have been out of my depth at that stage to say something to him if something was bothering him. So I didn't, but I thought I should have," he said.
McIlroy is facing intense scrutiny of his poor start to the year after switching to Nike clubs and Els, a former world number one in 1997 and 1998, said the status can be a burden.
"I wouldn't say lonely is the word, but you're exposed. People look at you and you're kind of the leader of the pack. In a way, you have to act accordingly. You have to show that you're number one in your game. You've got to perform," he said.
"There's a lot of guys out there that want to be wherever you are. So you have to out-work them, you have to outplay them. I think that you've got to be the number one player. With that there comes a lot of work and with that is a lot of stress put on your shoulders.
"So you're a guy walking around with a lot more pressure than the guy that's 50th in the world, I can promise you," he said.
McIlroy, who has said his problems are related to his swing rather than his equipment, has spent the time since his withdrawal at his local club in Jupiter, Florida trying to get his game in shape for this week's WGC-Cadillac Championship at Doral.
"I saw him at The Bear's Club over the weekend. He was practising his tail off. He was there right through the whole day, even yesterday we played at Seminole, he was out there in the afternoon. So he's obviously working hard at his game.
"We did talk a little bit in private. We'll see what he says," he said, referring to Wednesday's news conference when McIlroy will face the media for the first time since his walk-off.
Els, though, offered a reminder that despite winning two major championships and rising quickly to the top of the rankings, McIlroy is still only 23 years old.
"I was also 23; I'm 43 now. I look back, I did a lot of silly things and what he's done is nothing compared to what I did; just speak to my parents," said Els.
"But when it comes to being where he's at, you've got to maybe think a little bit more than two minutes. In a couple of years' time, he won't even think about this or talk about this.
"If he wins this week, it will be the last thing we talk about, it will be history and that's what it should be. It's something that's happened and we should move on from that," he said.
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