The full-back was an integral part of two Premier League title wins with the Gunners but joined free-spending London rivals Chelsea in the summer of 2006 in a protracted saga.
Cole was dubbed "Cashley" by embittered Arsenal fans although he would go on to win one more Premier League title as well as the Champions League in his eight seasons with the Blues.
After a spell with Roma and Los Angeles Galaxy, he is now back in England with Sky Bet Championship Derby but, speaking as a guest on Sky Sports' Monday Night Football, he reflected on his Arsenal departure.
He said: "I was a little bit hot-headed and didn't realise what I was doing at the time as well but I don't regret it. When I look back now, it was something maybe that was meant to happen.
"Of course it hurt me because I knew it wasn't just my fault. I didn't leave for no reason. I didn't go to Arsene Wenger and say 'I want to leave'. There was more to it.
"It happens in football now, I've seen it happen to a lot of other players. It's life, I moved on, they moved on.
"I do feel sometimes a little bit sad because it was my club, I played there since I was nine. To have that ill-feeling from the fans, still, is hard sometimes."
Cole was part of England's so-called 'Golden Generation' and was an ever-present in the World Cups in 2002, 2006 and 2010 as well as the European Championships in 2004 and 2012.
England's failure to win a tournament with an enviable amount of talent was widely lamented and Cole was unable to put his finger on why they flattered to deceive on the grandest stages.
He added: "I think we were always confident going into tournaments. We had strong players in every position but it just didn't happen for us. It's too hard to put a stamp on a reason why we didn't.
"It's something I'll definitely look back on and wonder why we didn't but I think a lot of ex-players and players that were in and around the squad, we couldn't put our finger on it. Maybe other teams were better than us."
Cole had an occasionally fractious relationship with the media when he was at his peak and he sees parallels with his situation and how Raheem Sterling is treated.
The Manchester City and England forward alleged in December that newspapers help to "fuel racism" with the way in which they portray young black footballers.
Cole does not think racism plays a part but sympathises with Sterling, who was at the centre of negative media headlines ahead of last year's World Cup due to a tattoo of an assault rifle on his leg.
Sterling has previously been criticised for buying clothes from Primark and flying on a budget airline, as well as splashing money on cars and a private jet.
Cole added: "There's definitely similarities but mine was probably caused more than him. I don't think he's done anything wrong. I mucked up a few times so I get my situation but with Raheem, he was just more of an easy target.
"I'm not saying it's because he's black. No, it's definitely not that. I just felt that they make him more of an easy target.
"They keep putting him in the paper with a new car, a new tattoo. People are going to start to think different things and you're going to have that stigma with it. I just feel it was a little bit too much."
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