The 43-year-old was relieved of his job at Bramall Lane on Friday after winning just two of his 13 matches in charge of the south Yorkshire club.
"I've got no complaints because I went in with my eyes open.
"I felt like the players were on board with what we wanted, but we just didn't get the breaks," the former Scotland international told BBC Radio 5 live.
"I don't think 10 league games is long enough to get your ideas up and running, but I understand because results were poor and people start to get worried.
"I thought we were at the start of something that would be a long-term project and could be successful. I'll only take positive things from my time there."
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