The 27-year old midfielder opted not to transfer his contract over to Charles Green's newco at Ibrox and was swiftly snapped up by the Saints on a three-year deal on the weekend.
Former 'Gers skipper Davis admits it feels a bit weird not to be suiting up in a Rangers shirt next season but just wants the fans to understand he made the decision for the best interests of his career despite still having a deep love for the Glasgow club.
"Any time you move it's always a bit weird to begin with. It was strange getting my pictures taken with a Southampton shirt and not a Rangers one," the former Fulham and Aston Villa man told MailSport.
"But the players were put in a position and forced to make a decision.
"It was obviously a difficult one to make. We never asked to be put in a position where we had to decide to stay or go.
"If things had been different, there would have been no reason for me to leave Rangers.
"There will always be a minority of fans who see my decision in a different light.
"Everyone has their own point of view. But I hope most supporters understand and respect my decision."