"I got upset, not when [Cesc] Fabregas left - because that was quite an obvious move - not when [Samir] Nasri left, but when Robin left. It was like a statement from the club. He left in a way that no-one understood because he was flying," the 37-year-old told Goal.
"He was a different type of player. An animal on the pitch, a goalscoring machine. When he left, I wondered why Arsenal didn't try more to keep him.
"Even if they had to spend lots of money, just do it because you have to spend money to get another player. And if you want to win something, it's going to take time for that player to adapt.
"I didn't understand that and Alex Song's move. The two of them left at the same time and I found out reading the French press. That got me really upset."
Sagna added: "Not long afterwards I had an interview with L'Equipe and they asked me what my future was and at that time, I hadn't held any talks about my future and I only had one year left before the end of my contract.
"To me, personally, if they wanted me to stay I would have stayed. But I didn't feel like they did everything to make me stay. I was not expecting them to run around after me, but I at least expected them to show me some love and make me feel like they wanted me to stay one year before the end of the same contract I had kept for six years without asking for one penny more.
"But they only talked to me after I did that interview with L'Equipe. It did not feel like a natural move and I didn't feel comfortable at all. This hurt me as a player and as a person because I always gave my best, I never asked for anything from 2008 to 2014.
"I didn't knock at the club's door to change contract, I respected my contract, but the way I left was a bit dirty. I didn't like it, I didn't feel comfortable anymore. Something broke inside my head."
But Sagna denied that he joined City because of money.
He continued: "It was not about money like people think or any way of leaving to win trophies. No, I was happy at Arsenal.
"But my head was gone. I was upset. I remember the fans singing 'we want you to stay', but I couldn't stay because I was upset and I couldn't play with my head.
"Even my dad talked to me, saying 'look you need to clear this up' but I said I was too upset. I was not even performing. I remember my dad and my brother came to a game and they didn't recognise me.
"I had some great moments, some difficult moments. I had some good seasons, some average seasons. But during that period I think I did more positive things than negative things and I never asked for anything.
"So I expected a bit more respect and so I made up my mind. When they came and said how can we help you, I said it was too late."
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