The 35-year-old is just seven points away from a return to the elite league, with the Saints due to face Reading this evening at St Mary's.
"I think about my season in the Premier League at Sunderland every night and it keeps me awake," the Express quotes Davis as saying. "Going there wasn't what I planned.
"The fans blamed me for every goal scored against us – even the one that turned out to be goal of the season. I really took some flak, but I never shied away from that or defended myself. But that is why I would love another pop at the Premier League."
Davis finished that season with the Black Cats before moving to Southampton in 2006, where the club conceded 80 goals.