Diego was released Juventus to Wolfsburg in the transfer market this summer with a deal value reached 16 million euros.
"I'm not the one who wants to go. Juventus was the one who wanted me gone," he said as quoted by the Italian Football.
"At Juventus there is a project where I did not go in their considerations. I take it, because players like I always have a special place in football," said Diego.
"Honestly, I'm not disappointed. It's just very unfortunate for the fans of Juventus, which I am very grateful for their respect and attention to me."
He also admitted surprise could be sold Juventus coach Luigi Del Neri remember wanted to survive.
"Del Neri told me always clear and he wanted me to survive. It seems none of those who run the club who are listening and I'll never understand why they do not grant wishes," said Diego.