The Spaniard joined Los Blancos in their youth set-up when he was 11 years of age but could make just two appearances for the senior side before moving to Real Mallorca in 2007.
"They made it impossible for me," he told El Pais. "I made progress since I was 11 years old and when you reach the top floor and they tell you that you can not go higher, you have to find somewhere else to keep developing.
"This was complicated further by competition, by the requirement that they have to win every year. A boy of 18-20 years need a little patience and at Madrid, that is impossible."
Valero joined Fiorentina from Villarreal in the summer.