Harvey, who was recently appointed as the senior assistant coach at the Magpies, said he was "shocked" when Scott Watters was sacked by the Saints.
Harvey said he met last Thursday with Saints board member Andrew Thompson and head of football Chris Pelchen before deciding to stick with his new post at the Magpies.
"I hadn't quite got my head around what had happened and had just got a new role at Collingwood which I was obviously very excited about," Harvey told radio station 3AW.
"In the end I had a think about it and just felt like where I was at with Collingwood and where I was heading, I was really happy with what I was doing and declined to have an interview."
Port Adelaide assistant Alan Richardson has been tipped to win the vacant role at St Kilda, with Richmond assistant and former Port Adelaide boss Mark Williams also in consideration.
Harvey said the Collingwood played a big part in his call to ignore an opportunity to coach the Saints, who he played 383 games for between 1988-2010.
"I'm really enjoying it and I've made some big steps in the last couple of years, particularly since I left St Kilda. I spent a year under Ross (Lyon), and when I left I made some strong calls to myself that I really wanted to get better and improve," Harvey said.
"It obviously takes time and I've got some experience now. This new role at Collingwood I'm really excited about and I just wanted to really round that off and get what I need to out of that."
Harvey believes it is taking longer for assistant coaches to be ready to progress for a senior position, such are the demands on the role.
"History says you pretty much only get one crack at it so you want to make sure you're ready to go when you get it," he said.
Twitter: @AFL_CalTwomey
