McKennie suffered relegation with Leeds while on-loan for the 2022/23 Premier League season.
He told The Athletic: "My time at Leeds was probably one of the lowest points, if not the lowest, of my professional career. I was at Juventus, playing week in, week out, and maybe I had developed a bit of comfort or complacency. Then in the Premier League, where we changed four managers in five months, nothing went to plan or how I had imagined it.
"When I came to England, in my head I was saying: 'OK, I have to perform well, put in great numbers, help the team stay up there and hope that a top five team in the league comes along and sees how well I've played and buys me. With all due respect to Leeds and their fans, I love Champions League football. I love playing at the highest level. I went there more than anything to try something new."
He also said: "I like to think I'm a thick-skinned person. When you get little comments here and there, it's quite easy to ignore them. But when you open your phone and the first thing you see on social media is always something negative, it's hard not to think about it. I really like it when people can relate to me and it makes me happy. Football is an unforgiving world sometimes.
"People obviously don't know what players go through and the stress they put on themselves to get results, because we don't want to put in bad performances and we don't want to lose games. It's just that sometimes there are ups and downs, so it hurts. After the relegation with Leeds, it was probably the first time, apart from the World Cup exit, that I cried. I hate losing and I felt like I'd let people down.
"But when they started saying 'fat b#d', 'pig', 'a#hole' and stuff like that, it was a bit difficult. You don't realise the effect words have on people."