Cole, part of the 2003-04 “Invincibles” team, told ITV’s panel show “Play to the Whistle” that he had no regrets about the move.
“I had a great time [at Arsenal], I missed the old players that were there but I moved on and won every trophy I could,” the defender said.
“I wouldn’t look back and say I regretted it, no.”
Cole — now at LA Galaxy — went on to win the Premier League, FA Cup, League Cup, Champions League and Europa League with Chelsea.
Arsenal have won two FA Cups since he left.
Asked by comedian and Arsenal fan Romesh Ranganathan whether he took any pleasure from that, Cole said: “If I’m honest, yeah — I still think to this day, I laugh to myself.
“I had a lot of history there and I think the way I left was maybe a bit dodgy, but the lack of respect they showed me as well.”
Cole turned down a contract offer of £55,000-a-week in favour of a deal paying him £90,000-a-week at Chelsea.
He admitted he should have handled the situation differently, adding: “Maybe I did things in the wrong way. But when I look back at it now I think there were a lot of parties I could blame.
“But it’s gone now, and it’s 10 years down the line.”