According to reverso, it's "Ik heb medelijden met de idioot." http://context.reverso.net/translation/english-dutch/i+pity+the+fool Here's a TV commercial where Mr T "speaks" Dutch (in a completely different voice.) https://www.youtube.com/watch?v=HfadVWkXPDs
For me it would make more sense if com-passion (com con, i.e. with) also demanded 'with' instead of 'for'. Mede-lijden, literally to suffer with, uses the preposition 'met', because one is suffering with the other person. It is another matter if one feels sorry for someone, because then the other person is just an object. Cf. also what ngarrang said above.