Mosimane was said to be the primary target for the South African Football Association (SAFA) when they sacked Molefi Ntseki upon failing to qualify for the 2021 Africa Cup of Nations in Cameroon.
However, the Red Devils boss quickly ruled himself out of contention despite being offered the security of a six-year contract which contrasts the hot-seat he finds himself in at present.
"I'm a person who likes challenges, I like to go to colder environments, not warm environments," Mosimane said ahead of the Egyptian giants' second leg CAF Champions League quarter-final against Mamelodi Sundowns.
"I could've stayed at Mamelodi Sundowns because I had a four-year contract but I opted for a two-year contract. I opted to go to a team where I'm supposed to win the Champions League.
"I've opted to go to a team where I'm supposed to win the league, where I'm supposed to win the Egyptian Cup, to a team where we play the World Cup and bring back a medal for the continent.
"I had an opportunity to be the national coach again, for a very long time, a six-year contract, retirement, but I stayed where it's cold. That's where the eagle stays."
The two-time Champions League-winning coach said he wanted to be tested at a higher level, to step outside of his comfort zone and not be a part of the recycling of coaches back in South Africa.
"You know the character of the eagle. We go to cold areas. And it's good after so many trophies in South Africa that I personally achieved," Mosimane explained.
"I don't want to recycle. Colder areas, tougher environment and I think you read on the media what happens when we just draw. Because we've got 70 million fans, [it's a] different mentality, different environment, the stars on the badge [Ahly's Champions League title] say who are you to come here.
"I need to play against Bayern, Palmeiras, the Cairo derby, face Mamelodi Sundowns, face all the international coaches from Europe. In the league in Egypt, all the big coaches are there. I could've stayed here at home and win the DStv Premiership again."
Since leaving Sundowns for the Club of the Century, Mosimane has overseen 42 matches in all competitions, with 30 wins, eight draws and four defeats.