Musa, 25, joined Leicester City in a club record £16.6m (R314m) from CSKA Moscow after their historic 2014/15 Premier League title win.
However, his return of two league goals in 21 appearances led to sections of the British media labelling him as a 'transfer flop'.
This prompted a January loan back to the Russian giants where he excelled once again with six goals in 10 games before the 2018 World Cup.
Many expected the Super Eagles star to secure a more prominent role at the Foxes after his loan spell, but a £14.5m (R260m) move to Saudi Arabian side Al-Nassr was confirmed earlier this month.
"I wanted to stay in England because that has been my dream for years but what will you do when you’re told a bid has been accepted for you? I had to move to where I know I will be celebrated," Musa told Own Goal Nigeria.
"Talks have been on about how I moved for the money but nobody has considered the fact that Leicester City also sold me for the money. Transfers can only happen if both parties agree to it and that was my case."