Walker spoke about his fear about informing Pep Guardiola about his decision to leave Manchester City.
The 34-year-old English defender was unveiled this week by Milan, with reference to a lack of playing time as an important reason for his loan movement.
Guardiola's response to the situation has been short and stated that Walker “decided to leave”.
When he went to Milan, Walker said: “When I spoke with Pep, it was not a comfortable conversation because of the respect we have done.
“What he won in City, I won it too. I would like to know what I am bringing to a dressing room.
“City was my family – from the chefs to cleaners, kitmen and physios. I would like to think I was fun and helped to insert everyone.
“But it didn't go well there and I didn't play enough.”