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 it threatened execution, because he hoped they would be willing to negotiate.
"I underestimated that point," John Foley said of the threat. "I did not realise how brutal they were."
Foley, 40, was kidnapped in Syria in November 2012. In the last email, Foley's Islamic State captors demanded USD 132.5 million from his parents and political concessions from Washington. Authorities say neither obliged.
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.
In New Hampshire, Governor Maggie Hassan has directed flags to fly at half-staff in honour 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," Hassan said in a statement.
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