Speaking on NBC's "Today," John and Diane Foley from Rochester, New Hampshire, said they had last heard from the captors via several emails in December.
John Foley said he was excited to see the latest email, even though the kidnappers threatened to kill his son, because he hoped they would be willing to negotiate.
"I underestimated that point," John Foley said of the threat. "I did not realize how brutal they were."
Foley, 40, was kidnapped in Syria in November 2012. His Islamic State captors had demanded $132.5 million from his parents and political concessions from Washington. Authorities say neither obliged.
The militants revealed Foley's death in a video released Tuesday. The extremists said they killed him in retaliation U.S. airstrikes targeting Islamic State positions in northern Iraq.
The Foleys said they had set up a special email address and sent multiple messages to try to engage the captors.
"We were just anxiously waiting," Diane Foley said.
GlobalPost, the Boston-based news organization Foley contributed to, released a copy of the captors' final e-mail.
"Today our swords are unsheathed towards you, GOVERNMENT AND CITIZENS ALIKE!" they wrote. "AND WE WILL NOT STOP UNTILL WE QUENCH OUR THIRST FOR YOUR BLOOD."
In New Hampshire, Gov. Maggie Hassan has directed flags to fly at half-staff in honor of Foley on Sunday, the day a church service is planned in remembrance of him.
"An unconscionable act of terror took him from us far too soon, but his unyielding commitment to advancing our cherished First Amendment right across the globe and the truths he unveiled will live on forever," she said in a statement.