Speaking to Sky Sports, the England international reflected on his final months as a City player and the loan spell that preceded his eventual departure.
Walker, who left Manchester City in the off-season to join Burnley, spent the second half of the 2024/25 campaign on loan at AC Milan.
He joined the Serie A giants during the January transfer window at a time when City were struggling to find form in the Premier League - something the veteran right-back now regrets.
Despite helping Milan strengthen defensively during his brief spell in Italy, Walker's absence was felt at City, where his leadership and experience had long been valued.
"Should I have left and gone on loan to AC Milan? I was the club captain, and you're the first one in line when things are not going really well," Walker told Sky Sports.
"At that time in the season, should I have left? Looking back at it now, probably no.
"I should have stood by or next to my team-mates, next to my friends, and people who I class as my family. But for the first time, probably in my career, I was selfish and I thought about myself and I wanted to play football."
Now at Burnley, the former City captain is focused on a new chapter in his career.
Manchester City secured a second successive Premier League victory at home against Sunderland, Chelsea were held scoreless away to Bournemouth while Tottenham managed to beat Brentford.
Manchester City manager Pep Guardiola insists his side are moving in the right direction as they continue to evolve following an off-season of significant rebuilding.
Pep Guardiola admitted he "did not have an answer" for Manchester City's collapse in a chaotic 5-4 victory at Fulham on Tuesday night.
Manchester City were made to work hard before eventually beating Leeds United 3-2 in their Premier Leaue clash at the Etihad Stadium on Saturday.
