Seventh seed Rublev, like the other Russian and Belarusian players in the draw, was banned last year by Wimbledon in the wake of Russia's invasion of Ukraine in February 2022.
Rublev, who expressed his dismay about his country's action shortly after the invasion when he wrote "No War Please" on a camera lens at the Dubai Open, said he was taken aback by the support from the Wimbledon fans.
"Last year I was set not to play one of the best tournaments in our sport," Rublev, whose inspired performance had fans on their feet during his 4-6 6-1 6-4 6-3 loss in a high-quality quarter-final, told reporters.
"But being here this year, I felt grateful. I felt really great support during these two weeks. Today, as well. Is like I was saying, to be from the country where I am, to have this support, it's special.
"I don't know, I feel sometimes I don't deserve it or something like that. I don't know what you need to do to have this support. I'm really grateful for this."
Asked if Russian players felt a sense of guilt over President Vladimir Putin's 'special military operation' in Ukraine, Rublev said: "It's not guilty. It's more just the situation is terrible.
"Of course, you don't wish this on anyone. You want these terrible things to be able to finish as fast as possible for all the people in the world to have a chance to have a good life."
Players from Russian and Belarus, which was used as a staging post for Moscow's invasion, were allowed back at Wimbledon this year after the WTA and ATP fined the Lawn Tennis Association for its stance and took away ranking points.
One of the conditions for their return was for players to sign a personal declaration that they do not support the war.
