Figo works for the Nerazzurri as their international ambassador and was speaking in Moscow ahead of Tuesday's game with CSKA.
"I know that my name was on the list for the Inter job, but it was not an easy option to follow," confessed Figo.
"In any case, we now have our new Coach, Claudio Ranieri, and hope to get back to victory with better times.
"Playing against Russian sides is always difficult and CSKA Moscow will be no different. Inter aren't in the best situation right now, especially after three defeats and Gasperini's dismissal.
"I also know that CSKA are going through a negative moment with injuries, but in any case we're coming to Moscow in order to win. After losing at home to Trabzonspor, we cannot afford to lose again."