He told correspondent Shannon Bream that looking back, he regrets not getting into the race "substantially sooner."
Fox framed the governor as returning to a Texas that is giving him lower approval ratings than President Obama.
"I don't govern by polls. I've been low in the polls before," he said.
First lady Anita Perry also appeared in the interview. She confirmed the pair is open to another run at national office.
What will she do differently next time?
"Prepare better, more debate prep. I'd do it all over again. I hope he will," she said.
Watch the entire segment below.