Walker left City this summer for Turf Moor after spending the second-half of last season on-loan with AC Milan.
Asked why he chose Burnley, Walker told the Telegraph: "I wasn't playing.
"I have the utmost respect for Manchester City fans. They have been incredible, incredible. We've given them fantastic moments. True fans who stuck with us through good and bad.
"But I felt, I don't want to say scapegoat because I don't want to bring out the violins. But I was the captain and the team wasn't doing well. There were big players missing in a big period in that season and I just felt like I was getting, not blamed. I won't say blamed but I felt I was the excuse because I was the captain."
On moving to Milan, Walker added: "Should I have left the team, looking back at it? Probably not.
"I probably should have stuck by the lads and came through the sticky patch together. But sometimes selfishly, you look at yourself and kind of think, 'okay, well, let me go and experience something different'."