The Polish No1, 28, swapped the Emirates for Juventus in 2017 having slipped behind David Ospina and Petr Cech in the pecking order in North London.
But now Szczesny is arguably one of Europe's top keepers, thriving at Juve following the departure of Gianluigi Buffon of PSG.
Speaking on his new life in Italy, Szczesny – who spent eight years at the Emirates – emotionally revealed: "I wanted to be at Arsenal for my whole career.
"It is the club I love. It is the club I still support. I gave everything to play there.
"I regret not having done more there.
"I won two FA Cups and a Community Shield but I would have liked to win at least one Premier League title.
"But sometimes you have to think with your brain, not just your heart."
Szczesny claims he knew he would have to "take one step back to take two forward" in heading to Serie A, but adds he's "proud of the way it's worked out".
The ex-Arsenal star added: "My first thought was that sometimes you have to take a step back to take two forward.
"When I analysed the situation, it wasn't much of a step back because I knew I was going to play.
"I got 21 games, which is not bad for a second keeper. I also had the opportunity to learn from one of the best in history and I had one year to prepare for replacing him.
"It was the best career opportunity I could ever have.
"I am proud of the way it has worked out. We all have difficult moments in our careers.
"It is how you react to them that counts. Where I am now hasn't come out of the blue. I have earned it."
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