The 27-year-old joined the Sunderland academy at the age of 10 but opted to move to the Magpies upon the expiry of his contract two years ago, sparking outrage from Black Cats fans.
Both clubs endured a torrid time in the Premier League last term and Newcastle ultimately lost out on a two-way relegation scrap in the North-East, condemning them to at least a season playing Championship football.
"It's football and if you look at the Premier League now any team down from eighth could get relegated," Colback told The Chronicle. "That's the way it is now.
"We were flirting with it and stayed up, then in the second season for me it happened. It's a risk. Three teams go down and nobody is exempt from that.
"But I have no regrets and if I didn't come here I would have always thought 'what could have been?'. This is my hometown team and I would never try to change it."
Newcastle are currently top of the Championship, having won 13 of their 19 games so far this season.