The Spaniard, who arrived at the club for £10million from Malaga in 2012, made 180 appearances for Arsenal and won two FA Cups in six seasons at the Emirates Stadium but suffering a terrible ankle injury.
"We needed to believe in ourselves more," he told the BBC. "To believe that we were capable of competing with the big sides in the Premier League and not just settling for third or fourth.
"We needed to have made that leap to try and battle it out for the title. There were seasons where you felt like we were in with a shout but then through various circumstances it wasn't to be.
"But I think it's all about having that self-belief, that right mentality. To say 'we believe in this team, we know we have a great squad and we can go toe to toe with the big English clubs'.
"I believe that they will do that and for sure they will keep on improving in the future. They are going to have a great season, they have a great team and I wish them all the best."