The Russia international was allowed to leave the club on a free transfer after losing his place in the side, and he expressed his frustration with life on the bench.
Arshavin became the club's record signing after arriving in a 17.5 million euro deal from Zenit St Petersburg in 2009, but he 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.
"The fact is I didn’t want to stay in England, this was clear since January," Arshavin told Sport Express. "I don’t regret anything, but I had to leave.
"It was a punishment to sit 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 is looking to regain the Russian Premier League title from rival CSKA Moscow, which claimed the crown by just two points last season.