In this sentence, you would use "of". You would not always use "of" with "regretful"; it depends. For instance, if you were writing about feeling regret for a friend, you might say "I was regretful for Tania, since she failed her exam." In this sentence, if you said "I was regretful of Tania" it would imply that you did not like Tania, and you regretted meeting her.
In your sentence, you did not like your choice, so you are regretful "of" your choice.