The Denmark forward was the subject of a £15m bid from the Magpies late in the winter transfer widow but his Dutch club rejected the offer.
The 27-year-old leapt to the attention of Newcastle scouts after topping the Eredivisie goalscoring charts last season with 21, but his productivity has dropped this term, with just eight league goals to date.
He has scored only once since January and it is open to debate whether the failed transfer has had anything to do with his lack of success in 2018, but it seems as though he was keen to make the move to Tyneside.
"It was a little annoying,' he told Tips Bladet.
"Of course it is always nice to know that there is a club that will pay so much money for one, so of course it gave me confidence, but at the same time a little bit of sigh.
"It is of course a big dream for me to end up in such a league."
Jorgensen has 28 international caps and will hope to add to that tally this week as he is currently with the Denmark squad preparing to host Panama on Thursday and Chile on Tuesday.
The former FC Copenhagen ace will now get his head down at Feyenoord but confessed that he still dreams of a big move to the Premier League.
"It is okay. I'm really happy to be in the club so there is nothing there," he added.
"The only reason I was a little down was because it was a dream like all football players."