Vikki Thompson, 21, died at HMP Leeds on 13 November. She had been awaiting sentencing for robbery.
Her partner Bob Steele said the letter should have alerted officials to her apparent distress, and added he had been "robbed of the love of my life".
A Prison Service spokesman said an inquiry into her death is ongoing.
In the letter, seen by BBC Look North, Ms Thompson said: "I just feel like I don't want to be here no more."
She signed off the letter saying: "I'm going now because I can't stop crying."
A post-mortem examination found the cause of Ms Thompson's death was thought to be hanging.
At the opening of an inquest into her death it was revealed Ms Thompson was considered to be "at risk of self-harm" and was being monitored regularly.
Mr Steele said: "She didn't like being in there. She hated it, people saying things to her.
"She was moved onto a wing with people who were sex offenders, and she had been abused as a child.
"She's wrote this letter and numerous other letters implying she's going to harm herself.  She's told them she's going to harm herself. Why did they allow it to happen?
"I think the prison have robbed me of the love of my life."
Following Ms Thompson's death, Minister for Prisons Andrew Selous said a review of the policy relating to the care of transgender prisoners had begun earlier this year.
A Prison Service spokesperson said: "There is an investigation under way by the independent prison and probation ombudsman as well as an inquest into her death.
"It would be inappropriate to comment further while these are ongoing."
A transgender woman found dead in a men's prison wrote to her partner just days before her death saying "I don't think I can last very long in here".