In December, 1947, he made the following statement: "I came to America because of the great, great freedom which I heard existed in this country. I made a mistake in selecting America as a land of freedom, a mistake I cannot repair in the balance of my life."
Source, in full
Attributed in FBI Memo, February 13, 1950 (item 61-4099-25 in Einstein's FBI file—viewable online as p. 72 of "Albert Einstein Part 1 of 14" here, as well as p. 72 of the pdf file which can be downloaded here). There is no other information in the FBI's released files as to what source attributed this statement to Einstein, and the files are full of falsehoods, including the accusation that Einstein was secretly pro-communist.