The Spain international had agreed terms with Real and was ready to join midseason only for coach Zinedine Zidane to block the move out of loyalty to Keylor Navas.
"It was a period in which there were many rumours about signings and it was in the foreground every day," Kepa recalled. "They were months in which I appeared almost every day in the media.
"It was a new situation, which until then I had not lived.
"But I am happy at Athletic."
On Zidane's resignation, he added: "It caught me by surprise, I did not expect it after winning the third Champions League."