The 32-year-old completed a return to Zenit St Petersburg this week after falling down the ranks at Arsenal in recent seasons.
"The fact is I didn't want to stay in England, this was clear since January," Arshavin told Sport Express. "I don't regret anything, but I had to leave. It was a punishment sat on the bench.
"To train even though you know you won't play, it is psychologically difficult. I nearly suffered depression, but I didn't because I'm mentally strong. The monotony of life there was crushing me."
Arshavin spent four years with the Gunners.