The Spanish ace switched to the Gunners from Malaga a year ago in a £16million move.
He told The Sun on Sunday: "Real showed interest and the negotiations started but it didn't become concrete.
"There is nothing to regret about that, everything has worked out well.
"Pellegrini was always honest and direct. He told me I would not play for Villarreal for a year because I needed to go out and get experience and he sent me to Recreativo.
"He was important for me. He took me back like he said he would and that is when I flourished.
"Maybe he's not as 'sexy' as some other coaches but I owe him a lot for the way my career has turned out."