The former Middlesbrough, England, FC Twente and VfL Wolfsburg boss says there was an approach from Villa after Gerard Houllier departed but he was not appointed to decided to look elsewhere, picking up the Forest job as a result.
"There was an approach, an appointment was set up that wasn't fulfilled. I moved on," said McClaren.
"At the time it was a disappointment, but I've had many highs and lows in my career. You quickly move on."
And McClaren insists he could have remained in Europe as he had some offers but concedes that the Forest position was one that intrigued him.
"I could have stayed in Europe, I had three or four offers to do that. I could have gone back to FC Twente. But I wanted a fresh challenge. I wanted a big challenge back in this country," he added.
"You can smell the history and tradition of this great club when you walk through the doors. I passed the two European Cups and pictures of Brian Clough when I arrived this morning and you have to embrace that.
"Billy Davies did a great job here for two-and-a-half years and I have a lot of respect for that when you consider where the club was when he took over.
"He saved the club from relegation and got them to the brink (of promotion) on two occasions.
"He is a great manager but the board here felt that it was time to change something.
"I have to pick up the baton and I wouldn't be sat here if I didn't think I was the man to fulfil everybody's dream of playing in the Premier League. That is the ultimate goal."