The Brazil international joined Madrid from Santos in the summer of 2005, but left the club for Manchester City three years later after falling out of favour at Los Blancos.
The 28-year-old attacker confessed that although he had his good periods at Madrid, the manner of his departure still hurts him.
"I had some great moments there, but my farewell was a disappointment. Real wanted to buy someone else [Cristiano Ronaldo] and all of a sudden they were no longer interested in me," Robinho said to band.com.br.
"I feel really sorry for the way I left Madrid, but the fans don't always understand what happens in these cases. The deal eventually fell through and the club was not happy. I did not feel valued and wanted to leave."
Robinho joined Milan in the summer of 2010 after an unsuccessful one-and-a-half season spell at Manchester City.
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