The 38-year-old, who hung up his boots last month after a 19-year career and 15 trophies, made his name in Spain before playing in the United States and Japan.
But it could have been very different had a proposed move to the Emirates gone ahead following talks with manager Arsene Wenger.
The former striker, who was playing for Barcelona at the time, told BBC Sport: "We were in a lot of meetings and a lot of calls.
"But in that moment we didn't arrive to the deal, Atletico Madrid arrived and in three or four days fixed everything."
He added: "I don't know what would have happened if I'd signed for Arsenal.
"I'm very happy that I signed for Atletico Madrid, not just for winning the league but for everything. I'm very happy to have made that choice."