The Premier League side became one of the richest clubs in world football overnight when billionaire Sheikh Mansour purchased the club in 2008.
And Zabaleta, who was the club's final signing before the takeover, claimed how the rest of the dressing room were left nervous over their futures.
He told La Nacion: "Ten days after my arrival, the purchase of the club by the people of Abu Dhabi is executed.
"Four days later, they invest £40million for Robinho and there I said, 'Now what do I do? I'm going to last six months here'.
"We took it a bit as a joke and... in the locker room we started putting 'Messi', 'Cristiano Ronaldo'. We were s******g ourselves."
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