Expectations have always been high for Bale in Madrid, but his failure to step up after Cristiano Ronaldo's departure in 2018 frustrated many Los Blancos fans, especially as the Welshman has been in the papers more for his off-the-pitch actions than his on-pitch performances in that time.
"We get a lot of pressure every game. If you don't play well, there's scrutiny," Bale told US golf podcast The Erik Anders Lang Show when discussing his time at Real Madrid.
"I've had 80,000 people in a stadium whistle at me because I haven't played well. I've had it a few times! It's not nice and it doesn't do your confidence any good either."
Unlike in England, fans voice their displeasure by whistling in Spain, something Bale doesn't seem to understand.
"This is the biggest question and I just don't get it," he said.
"You would expect that if you're not having a good time on the pitch, your fans would get behind you and try to help you do better because it'll make them happy.
"But it seems that they do the opposite. They whistle you, which consequentially makes you feel worse, you lose your confidence, you play worse and then that makes them even more upset.
"In football, you might play amazing, not score for five games, and then everyone says you're having a terrible time.
"You think to yourself that you're playing well, you just haven't scored or assisted. But people just like goals, assists and 'wow' things. Sometimes that doesn't always happen."