Gemma, 33, walked out of the jungle after just three days, saying, "I just can't do it, it's not for me, I love myself too much to put myself through this."
But Joey, 24 – who came fourth in last year's series – reckons his pal will regret walking away.
Joey, who is jetting to Australia today to appear on ITV2's spin off show, I'm A Celebrity…Get Me Out Of Here Now!, said: "It's a shame and I personally think she'll regret it.
"It's a once in a lifetime opportunity and a great experience and she's gone and left it.
"It's mad, I can't believe it. It's such a shame."
Gemma struggled in the jungle, complaining about the lack of food and having to live in the 'Celebrity Slammer'.
She threatened to leave a few times, before making the decision to walk on Wednesday.
Joey thinks she'll kick herself about the decision to quit when she's had a chance to reflect on her early exit.
He said: "I personally think she'll look back in a few months time and think, 'why did I leave so early'.
"She was brilliant on the show. The first few episodes were all about her so she should have stayed. I think she'd have done well, she was entertaining."
On touching down back in the UK this morning, Gemma told Good Morning Britain that she'd left because of the "shock" of traumatic injuries she'd received before heading to Australia - but it was unclear what incident she was referring to.
She said: "I decided to leave the jungle because, what a lot of people didn't know is, 24 hours before I went in, something really bad happened to me. I had quite bad injuries, I had injuries to my head and all over my body but I didn't want to let anyone down. It was such a massive opportunity.
"I'd been through so much trauma that when I got in there the shock came out."
Gemma was the target of vile online bullying during her stint on I'm A Celebrity and hundreds of messages were posted to Twitter and social media sites criticising her weight.
He said: "I think she'll be okay with the criticism, she knows what it's all about.
"I haven't spoken to Gemma, and it's for her to say, but I think she'll be fine."
Joey's new album, Joey Essex Presents Party Anthems, is out now
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