The 35 year old left the Gunners after six years in 2018 following two years out with a serious ankle injury.
But he has made an amazing recovery at Villarreal and has even fought his way back into the Spain team.
"It was frustrating to not be able to say goodbye to a club who treated me so well," he told BBC Sport.
"It is something left in my career to say goodbye properly. I am eternally grateful to the club and the fans for the way they continue to treat me."
Reports have suggested that the Gunners are looking into the possibility of Cazorla returning for a farewell in some capacity, but the midfielder says he has no plans to join up with former team-mate Mikel Arteta in a coaching role.
"If I'm honest I don't know if I will coach," he said.
"I am undecided what I want to do when I retire. Being a sporting director appeals to me more than coaching but I want to be involved in the game, whatever feels right for me at the time.
"I have no plans in the short term to go anywhere or play abroad but I would never shut those doors. I am focused on ending the season with Villarreal."