Arshavin became the clubs’ record signing after arriving in a £15 million deal from Zenit St Petersburg in 2009 but re-joined the Russian club on Thursday following the expiration of his Gunners contract.
The 32-year-old featured in just seven league games in the 2012-13 campaign and suggested it felt like "punishment" to train each week knowing a first-team place was out of reach.
|10/1||Arsenal are 10/1 with bet365 to win the Premier League
"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 was the highest profile name in a list of 14 players not offered new contracts at the club this summer, allowing him to officially join his former club on July 1.
Zenit are looking to regain the Russian Premier League title from rivals CSKA Moscow, who trumped them to the prize by just two points last season.