He told the Sunday Times: "It was a very tough decision to leave Arsenal.
"I have only ever had two clubs: Halmstads in Sweden, the club I joined when I was five; and Arsenal, where I've been for most of my adult life. I had a great relationship with the Arsenal fans, and the manager [Arsene Wenger] wanted me to stay. In my time at Highbury and in the Emirates stadium we won everything, everything except the European Cup, and in this we came so close. We played brilliantly in that final [in 2006 against Barcelona] and believed we would win, but it wasn't to be, and that's sad.
On joining West Ham, the Swede added: "To be part of the rebuilding of a team and to see where it will go is inspiring. West Ham has a great history, with its players having been such an important part of England's World Cup-winning team in 1966.
"Since I've been in England, the club has brought through so many great young players before letting them go to big clubs like Chelsea and Manchester United. Now we want to keep those players and bring in more to add strength and quality and build a big team. When they asked me to be part of this, it appealed to me. It's not unrealistic to say that we want to qualify for Europe this season. This is what we're aiming for and we have a chance."