The 21-year-old arrived at the club in 2010, but failed to make an impression as he appeared in just 10 La Liga games before moving to Los Che.
"I will always appreciate how they [Real Madrid] treated me," he told Marca. "It's complicated because they are a team that always want to win a trophy, and that makes it very difficult for young players to be accommodated.
"In Madrid I learned a lot, especially tactically, technically and mentally. The fans treated me very well, it was not all bad."
Canales signed for Los Che on a permanent basis in the summer, and has expressed his delight at signing for the club.
"Since coming here I have felt the love and trust of the fans. Valencia have made a great effort to buy me, even though I have had two serious injuries."