Bamford was quoted as saying he had asked to return to Stamford Bridge to give himself a chance to secure a more successful loan move when the transfer window opens in January.
The 22-year-old striker's frustration boiled over after he blasted a close-range effort straight at Swansea goalkeeper Lukasz Fabianski when he should have scored what would likely have proved the winning goal at Selhurst Park.
"That was my last game for Palace," Bamford said on the BBC Sport website.
"If I were being honest, it has been terrible. No one wants to sit on the bench and not play.
"It was my decision. The gaffer hasn't actually spoken to me."
Bamford's goalless nine-game stint with the Eagles now looks at an end, despite manager Alan Pardew insisting Palace had yet to talk to Chelsea about the player's future.
"Strikers will always tell you they need five games," said Pardew of Bamford's form.
"Managers ain't got time for five games. You've got to come in and do it. But that chance was normally one he would take."