The pair worked together at Sevilla.
On his Instagram, Immobile revealed that he felt Emery was the main problem for his failed spell at the LaLiga club.
He said: "I felt bad, I didn't have many chances. In January I thought of leaving but Emery asked me to stay.
"At first I went out and scored two goals straight away, but then Emery took me out again and I thought, 'This guy didn't understand anything'.
"Let's just say that when you don't feel like a part of the group, everything is useless."