After helping Malaga qualify for the 2012-13 UEFA Champions League courtesy of a fourth-place finish in La Liga, Cazorla joined Arsenal for a £16.5 million fee.
Malaga fans were angered by the Spaniard's swift departure but the 30-year-old has apologised for the manner in which he exited the club.
"I left because the club needed money," Cazorla told Sky Sports' Spanish football show Revista de la Liga.
"Arsenal was a good opportunity, but Malaga wasn't stable and it wasn't clear where they were headed.
"I know that in Malaga lots of people haven't forgiven me for the way I left.
"When I signed for Arsenal, everything happened so quick, I had to go to London.
"Arsenal had already started their pre-season and I had to go over there for a medical, and then I had to go to Holland to start to train with the squad.
"That all meant that I couldn't go to Malaga to hold a press conference to say goodbye to everyone face to face.
"In the end, I could only write a letter in which I expressed my gratitude and my affection for the club. I know a lot of people didn't like that.
"I'd like to apologise for not being able to say goodbye properly as I know that would have been the best thing.
"It still bothers me that I didn't get to do that for the fans."
Get the best features, fun and footballing frolics straight to your inbox every week.
Thank you for signing up to Four Four Two. You will receive a verification email shortly.
There was a problem. Please refresh the page and try again.