Thirty-nine Juventus fans died during the stadium tragedy in 1985, and the former Italy international feels joining the Premier League side would be too sensitive a move.
"Talks with Sydney were already in an advanced stage when Liverpool came knocking, and then I thought about what had happened at Heysel," he told La Gazzetta dello Sport.
| LIVERPOOL LATEST
|100/1||Liverpool are 100/1 to win the Premier League with Paddy Power
"Juventus and Liverpool have been able to rebuild their relationship, but that tragedy will forever be on the mind of many people."
Del Piero then went on to voice his disappointment with his departure from Juventus, but praised Bianconeri fans for the warm farewell they gave him.
"I never thought I would leave Juventus like this. I never even imagined this some 18 months ago. However, things then changed," he added.
"I leave with a feeling of satisfaction, though, knowing that I always gave everything for Juventus.
"The fans outdid themselves for my farewell game. I knew that the fans liked me, but never thought I'd be that popular. Gigi Buffon told me that he envied me."
The 37-year-old made his Sydney debut at the weekend as they lost 2-0 against Wellington Phoenix.