Caitlyn Jenner regrets not talking to her father about her gender identity.

During a conversation with Buzz Bissinger -- who wrote her Vanity Fair article, and is helping Caitlyn write her memoir -- in front of a sold-out crowd at the University of Pennsylvania, the 66-year-old former Olympian revealed that not opening up to the late William Jenner is a decision "that will always haunt me."

"I think eventually he would have come around," she said. "He would have never understood, he didn't know anything - gay, trans, all that other stuff."

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"But I'm sure he's looking down from heaven right now and saying, 'Well, you're doing a good job,'" the reality star added to audience applause.

William Jenner, a World War II veteran, died 15 years ago.

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Caitlyn also shared the apprehension she felt at how her mother, Esther, would take the news. However, while revealing that she still sometimes calls her "Bruce," the 89-year-old has become Caitlyn's "biggest ally."

Since Caitlyn's 20/20 interview with Diane Sawyer last April -- which drew 17.5 million viewers -- she has gone on to be a major transgender figure, using her E! docuseries, I Am Cait, to spread awareness on gender identity issues.

In December, ET learned that a followup to the groundbreaking interview is set for sometime this year.

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