。
I really do think that's too bad.
Literal
Truly regrettable [is-だ] [quotative-と] think.
The pattern [clause]-と思う frames the preceding as the speaker's own opinion; the と here is the quotative particle, literally 'think that X.' 残念 is a common な-adjective meaning 'regrettable' or 'unfortunate,' used in both sympathetic and disappointed contexts — closer to English 'too bad' than literal 'regrettable.'