Keegan won the European Player of the Year while at Hamburg.
He told Absolute Radio: "Yeah, I would say it's the best thing I ever did. You know, I was 27 years of age though, I'd achieved most things, I was captain of my country, I'd won things, I'd played probably 50 times for England. I wouldn't advise players to go abroad at 17, 18, 19 and 20.
"Learn your trade, and then if that appeals and you think its right, I mean, yeah, learning another language, fantastic, learning how another nation thinks and how it operates and the laws of that country, fantastic education, something that you can't learn out of a school book.
"Yeah, for me it was an adventure, I could have stayed at Liverpool and just seen out my next five or six years, but I just felt there was something more for me, something different. No disrespect to Liverpool because I love the club, and that's why I went, and I don't regret it for one minute. I went on to win a German Bundesliga title with Hamburg, and we should have won the European Cup Final, Notts Forest beat us but I think we were the better team on the day, we just didn't get the goals.
"So yeah, I wouldn't put anyone off that, but the difference is now, you know, that most people want to play in the Premiership because it is the best league."
This Saturday Absolute Radio's Rock 'N' Roll Football show travels to Upton Park for West Ham v Stoke. You can tune in every Saturday on Absolute Radio extra - on DAB Digital Radio, 1215AM and online in the UK from 1.30pm as programming kicks off with Russ Williams for pre-match build up, followed by full live commentary from Jim Proudfoot, while Ian Wright takes care of post match analysis featuring player and manager interviews, fan phone ins and a healthy supply of banter.
Tune in for the full Jim Proudfoot interview with Kevin Keegan. For more go to absoluteradio.co.uk/football.