Almunia signed for Watford this summer, ending an eight-year spell at Arsenal.
The Spanish stopper says that things might have been different if he had not played injured in a disastrous 3-2 home defeat to West Brom that effectively ended his playing time at the Emirates.
Almunia told The Mirror: "I have big regrets about that game because maybe if I had stopped playing I would have played many more games for Arsenal.
"It was so, so hard to cope with. One day you are number one and everybody wants you, and the next day you disappear. I am quite a sensitive person and I am not good in the bad moments.
"After Arsenal, I just wanted to go to a place where I feel wanted, respected and loved, and made to feel like a good goalkeeper again. That's what I have found at Watford."
Almunia played in a Champions League final and collected an FA Cup winners medal during his time at Arsenal.