"I wanted to stay but I started to think I was the right man for the right club at the wrong time."
Megson's departure came after 13 months as Forest boss, during which time the club was relegated from the Championship and struggled in League One, despite a hefty outlay on new players.
He added: "Before I took the job I spoke to two high-profile managers who both warned me against taking it.
"The the job itself is fantastic and the chairman is one of the best I've ever worked for, he deserves success.
"But if I'd gone on loan to Forest for a month before becoming manager, I'd never have re-signed for a second month.
"What I saw from the first two weeks onwards was a real eye-opener. It was like I'd gatecrashed a private members' party."