The 83-year-old said he was in his native Australia when he first heard that Wendi had been meeting Mr Blair at the couple's California ranch without his knowledge.
"Well, you know, everybody was talking about these things and never telling me anything," Rupert told Fortune magazine. "But then I was told two pretty circumstantial things about the ranch.
"I was in Australia. When I got back, I naturally asked the staff, and it opened up. That's the story. And then, you know, a week late I filed (for divorce). As soon as I could find a lawyer."
Rupert said that after he filed for divorce from Wendi, 45, he became aware of diary entries she had written about the former British Prime Minister, who is godfather to one of their children.
As reported in Vanity Fair, the notes described Mr Blair's "good body" and his "really, really good legs".
Rupert told Fortune that he was "shocked" by the notes, but had not read them. "I regret the whole Vanity Fair thing," he said. "I wish we could have got divorced quietly."
Mr Blair has always denied that he had an affair with Wendi, and there is no evidence to suggest anything to the contrary. Rupert and Wendi divorced last November after 14 years of marriage.