The 22-year-old was with the Gunners for two years, before leaving for Empoli in 2017.
The Algerian only played a single game for the club, and believes he was used in the wrong position in that game as well by legendary boss Arsene Wenger.
He told Sportweek: "I arrived in England in July. The first two months I stayed in the hotel because I didn't want to go and live with a family I didn't know.
"I was 17, I wasn't of age and couldn't live alone, so my sister came to stay with me.
"Then I was joined by Chaines, with whom I had been engaged since school and who would become my wife in England.
"In September, finally, I played my first game. In the League Cup, against Sheffield Wednesday.
"Alex Oxlade-Chamberlain got injured, Theo Walcott was brought on in his place and after two minutes he gets injured too, so Wenger throws me on.
"The problem is that he puts me wide left in the front three, it's a role I've never played before.
"I felt a crazy pressure on me. I lost a few balls, but I recovered a few.
"After that I didn't play anymore, but I have no regrets. I trained with important players like Mesut Ozil and Santi Cazorla.
"I still had a four-year contract with Arsenal, but I went where they really wanted me.
"The reason why I went to AC Milan, I chose them for their history, but even more because his project was the best for me."