The veteran striker maintains there is no bad blood between him and Los Blancos, while admitting that he would have liked to play for Spain at Euro 2012
The 35-year-old quit the Spanish capital in 2010 after securing iconic status at the club to further his career at Schalke, where he spent two years before signing for Qatari club Al Sadd earlier in the summer.
His last campaign at the Santiago Bernabeu was marred by fitness problems, but the former Spain international was quick to quash the idea that he left Los Blancos on bad terms.
"I spent the best years of my life there and I was lucky enough to be part of a great generation of players and to win the biggest titles," he told Al Sadd's official website.
"My departure from Madrid was my own choice. I had one year left on my contract, but I decided to go for a new professional experience, so I joined Schalke.
"I have no problem with the club and our rapport is good."
After an impressive 2011-12 at Schalke, Raul was tipped to replace the injured David Villa in Spain's 23-man party for Euro 2012, but was subsequently left out of the squad by coach Vicente del Bosque.
"I would have liked to take part, but that is life," he added. "Now I am spending more time my family and I am happy with what my team did.
"[Spain] are considered the best team in the world - after all, they won."
Questioned about the inevitable comparisons between Cristiano Ronaldo and Lionel Messi, Raul said: "Messi has a unique talent, he plays alongside quality players like Xavi and Andres Iniesta.
"Cristiano is also a great player."
Raul also listed Jorge Valdano, Fabio Capello and Del Bosque as the most important coaches in his career and named his strike against Vasco da Gama in the 1998 Intercontinental Cup as his best goal.