The 36-year-old arrived at the Team of Choice last month to work under Turkish coach Muhsin Ertugral in what was his first role as a coach after announcing his retirement from professional football.
Unfortunately, results did not go Ertugral's way, and he departed by mutual consent at the start of this week, before the club brought in Eric Tinkler to take over.
“I spoke to the Chairman, to the General Manager and to the new coach Eric in the right way,” Khenyeza told the club's official website.
“There were not any issues, but I felt from my side, that with new blood coming in and trying to implement new ideas to the boys, for the benefit of the team, it was best for me to move on," he said.
“The most important thing is that the team is given the best chance to get out of the situation where they stand at the moment. It's not about me, but about the team," he explained.
"It was better to let the new technical team take over. The club wanted to keep me, but I think in football sometimes the team is more important than individuals," he concluded.
Latest reports have indicated that Khenyeza is set to return to AmaZulu FC having left the club last month after announcing his retirement.
AmaZulu team manager Qedi Dlamini confirmed that they would welcome back Khenyeza.
“We love him. We know his quality. We will accept him with open arms if he decides to come back. He is a very important individual. If he wants to come back, there’s no problem,” Dlamini said on IOL.
“At the moment, we haven’t discussed after his departure at Maritzburg because we were playing in Pretoria (on Tuesday). We are still here and the management is also here. We haven’t spoken to him. Maybe we will speak to him later today or tomorrow," he added.
“We had our intentions about Khenyeza for next season, but unfortunately, the opportunity to go to coaching came early. He indicated his intentions and we gave him our blessings,” he added.
When Dlamini was asked whether Khenyeza would be joining the senior side or at junior level, he replied: “We wanted to develop him as a coach, like we are doing with Ayanda Dlamini, Belux Kasonga and Nhlanhla Zwane," he explained.
“He was going to fall into that category. We were willing to help him get his qualifications," he concluded.