Kepa was all set to join Real in January, only for Zidane to block the deal over loyalty to Keylor Navas. The Spain international has since penned a new deal with Athletic.
Kepa told Onda Cero: "Everything that happened a few months ago for me was new, not that I had a bad time but I was not prepared for all of that.
"Some days I felt helpless, weak, and because of my way of being I kept everything inside, I tried not to let anything affect my team, Athletic.
"My contract finished in 2018, so since January I could negotiate, I had the possibility to leave and to stay in Athletic and it is the one I chose.
"The decision to renew I took, nobody made the decision for me."
He continued: "I do not hold a grudge against Zidane, I do not have to resent anyone, I do not value words from coaches other than (Julen) Lopetegui or (Jose Angel) Ziganda."