The 25-year-old has yet to win a game in English football since his £3.5m summer move.
"For me, Madrid is the best club in the world and I didn't need to leave," he said.
"But I would have been mad to stay where I was - though if you ask have I taken a risk coming here, then definitely.
"I left because I am ambitious.
"In Madrid, you have it all. But I look in the mirror and I want to be honest with myself and I know what I need - life is short and I want to play."