"Financially I'm in the worst position ever but I'm the happiest ever", he told the Olympic Channel.
Taufatofua trained with roller skis due to the lack of snow in Tonga.
Taufatofua's cross-country skiing adventure may only be a brief interlude before he refocuses on taekwondo, a sport that has given him six broken bones, three torn ligaments and hundreds of hours of rehabilitation. He is just the second Tongan to compete in the Winter Olympics.
Taufatofua exceeded his own expectations, but even the ultra-confident Tongan momentarily allowed doubt to creep in.
"I was so far behind all these professional skiers that I thought: 'wow, this is so hard, what have I gotten myself into?'"
But he's turned his hand to cross-country skiing two years on and has already attracted plenty of attention for his elaborate entrance.
Standing at more than 6 foot 3 inches, Taufatofu tipped the scales at 100 kilograms in Rio. But he lost 15kg and worked on getting faster.
Prince Henrik was hospitalised for a lung infection last month, but his condition has "seriously worsened", as his son, who is an International Olympic Committee member, made the dash home.
Earlier this week, he warned his adoring-but-then-definitely-disappointed fans that this would be the case in an interview with New Zealand's Stuff: "I want to still be alive for my race".
He crowdsourced funds for his training and qualified for the Winter Games at the end of January 2018. "It is going to be freezing outside so I will be keeping nice and warm".
"I've come in as the last seed so I think I'm the last ranked person there - so if I get a gold medal, I'll be happy; If I come last, I'll be happy".
The marital artist braved subfreezing temperatures of 32 degrees Fareinheit on Friday and as he marched tanned and topless, wearing only a traditional Tonga mat, into the Olympics stadium.
That nearly wasn't the case, however, as Taufatofua said ahead of the ceremony that he didn't plan on going topless again because of the extreme temperatures expected in South Korea, The Independent reports. "I just scraped by to qualify", he laughs.