Klitschko is the younger brother of Vitaly Klitschko, a member of parliament in Ukraine and a leader of the opposition that helped topple Russian-backed President Viktor Yanukovich last month.
"You cannot repeat the mistakes of history and there were a lot of mistakes," the 37-year-old boxing champ told reporters in his training camp in Hollywood, Florida, where the side of a ring was draped with a Ukrainian flag.
"Every country, every former Soviet republic has its own desire and will to look in the direction they want to look -east, west, south, north. It's their own decision," he said.
Russian forces took control of Crimean Peninsula from Ukraine last month and Crimean voters on Sunday overwhelmingly backed joining Russia in a referendum that the West called illegal.
Vitaly Klitschko, a former world champion boxer who left the sport to run for office, plans to compete for the Ukrainian presidency in elections scheduled for May 25.
The younger brother has held the IBF, WBO and IBO heavyweight championships longer than any other fighter in history, according to Boxrec.com, an online boxing encyclopedia.
A superstar in the boxing world known as "The Steel Hammer," Vladimir Klitschko is the second longest-reigning heavyweight champion.
The 6-foot, 6-inch (1.98-metre) fighter is expected to defend his title in a fight with Alex Leapai in Germany on April 26.
Vladimir Klitschko, whose father is Ukrainian and mother Russian, described the tensions between Russia and Ukraine as a fight between siblings, with Moscow playing the part of big brother.
"In a certain way I can compare it to Vitaly and myself," he said.
"If my older brother tells me 'you got to do this in a way that I want you to do it', I am going to tell him to chill because I have my own character, I have my own life, and I have my own opinion in the direction I want to go and nobody is going to force me," he added.
Klitschko said he opposes any split between eastern and western parts of Ukraine. But added that he hoped all politicians involved in the crisis would take a lesson from boxing.
"It's like a boxing match, if you are going to get too emotional you are definitely going to produce mistakes that are eventually going to cost even more damage," he said.