The former striker was one of the club’s most successful players during the Premier League era in the 1990s, scoring 61 goals in 144 appearances before joining Aston Villa.
He also came close to being selected for England at the 1998 World Cup.
And he pointed the finger at the players and the hierarchy for the club’s slide.
“I’m absolutely gutted,” Dublin told the Observer.
“I played with such a good team at Coventry with the likes of Gary McAllister and Darren Huckerby.
“We played some fantastic football and had a brilliant work ethic, but it all seems to have gone downhill since Highfield Road.
“Everyone at the club has to be held responsible but the manager Andy Thorn is likely to take all the blame.
“Those in charge of the club have to be held responsible and the players should take the blame too.
“I am lucky in one respect because I have never been relegated at a club in my career but I do feel for the players. I really hope they can bounce back next season.”
Dublin was back in the city as he continues his work as an ambassador for the London Organising Committee for the Olympic Games (LOCOG).
A total of 1.5 million tickets have gone back on sale this week with tickets at the Ricoh selling better than any other city outside London.
“The City of Coventry Stadium is a fantastic venue, I would have loved to have played here for Coventry,” he said.
“The Olympics is such a massive event and the people of Coventry should take advantage of having the Games right on their doorstep.
“I’ll be here working for BBC Radio 5live and I can’t wait.”