The Liga giants were linked with a move for their former player after Gonzalo Higuain picked up a long-term injury, but instead chose to loan Emmanuel Adebayor from Manchester City for the remainder of the season.
Van Nistelrooy, who enjoyed a four year spell at Madrid, left Bundesliga club Hamburg in the summer on a free transfer, joining ambitious Malaga on a one-year deal.
However, the veteran forward could have been lining up against his current employers when the two teams meet on Saturday evening.
"At the time I felt disappointed because a return to Madrid would have been great, It was very close to a beautiful story. But it wasn't to be and now we will never know what would have happened," he told Marca.
"Yes, I'm at Malaga now and I'll give 100 per cent but my time at Madrid was not normal. It was very special and I will always have a great connection with the club and its fans."
The 35-year-old was keen to heap praise on Madrid's current strikers who he is likely to line-up against this weekend.
"[Gonzalo Higuain] has improved a lot since he arrived. Before he was a kid but now he's mature and an experienced player. He knows exactly what to do and is a very complete player," he added.
"[Karim Benzema] also has great quality, he's fast and I like his intuition and ability to surprise."
Van Nistelrooy has made seven appearances for Malaga so far this season, scoring one goal in the 3-2 victory against Getafe.
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