The Spaniard had started the first three matches of the season under Unai Emery.
On Deadline Day, however, he opted to return to his native Basque Country - signing for Real Sociedad to bring his six-and-a-half year spell in North London to a close.
He told El Pais: "The truth is yes. It was a difficult decision because I loved the competition, I was in a good moment and I had the confidence of the coach and the club.
"I still had opportunities to play, but after many months, things are now going well at Real [Sociedad]. We have a good team and I do not regret my decision."