Immobile left Lazio for Besiktas last summer admitting the decision was a wrench.
"The Biancocelesti fans loved me madly. I loved them in the same way, but it was becoming a love only for what I had done and not for what I could still give. It's almost easy to score 20 goals in a season, it's not easy to do it 5-6 times in a row: it was almost creating a hint of skepticism towards me," he told Sky Italia.
"After (Maurizio) Sarri's farewell I went through a really tough period. As captain I took on responsibilities that I didn't even think I had: I wasn't ready and I ended up in a vortex that was bigger than me.
"If you are not clear-headed, your legs don't turn and you get hurt, exactly like what happened to me.
"All these things led me to decide to leave. My wife Jessica was also very helpful: she had seen a changed Ciro, I had understood that I was at the end of a cycle."
But does Immobile have any regrets when thinking back to Lazio?
"The only one I have is not having said goodbye to the fans. That stuck with me, but I will always carry Lazio in my heart."