21 “Because if You had willed sacrifice, I would have given it surely”. David was living at that time when sacrifices of victim animals were offered to God, and he saw these times that were to be. Do we not perceive ourselves in these words? Those sacrifices were figurative, foretelling the One Saving Sacrifice. Not even we have been left without a Sacrifice to offer to God. For hear what he says, having a concern for his sin, and wishing the evil thing which he has done to be forgiven him: “If You had willed,” he says, “sacrifice, I would have given it surely.
With holocausts You will not be delighted.” Nothing shall we therefore offer? So shall we come to God? And whence shall we propitiate Him? Offer; certainly in yourself you have what you may offer. Do not from without fetch frankincense, but say, “In me are, O God, Your vows, which I will render of praise to You.” Do not from without seek cattle to slay, you have in yourself what you may kill. “Sacrifice to God is a spirit troubled, a heart contrite and humbled God despises not”.
Utterly he despises bull, he-goat, ram: now is not the time that these should be offered. They were offered when they indicated something, when they promised something; when the things promised come, the promises are taken away. “A heart contrite and humbled God despises not.” You know that God is high: if you shall have made yourself high, He will be from you; if you shall have humbled yourself, He will draw near to you.
Source: The Enarrations, or Expositions, on the Psalms (New Advent)