The 28-year-old Russian international left west London back in August, bringing to an end his time at Stamford Bridge.
Zhirkov admits he found it difficult to settle in England, and felt he never really had the opportunity to acclimatise to the rigours of the Barclays Premier League.
He also revealed that at the time of signing for Chelsea for a reported £18million back in 2009, he also received an offer to move to the Bundesliga with Bayern Munich.
"Then I had offers from both Chelsea and Bayern, and I wanted Bayern," Zhirkov told Anzhi's official website. "[It was] because [former CSKA team mate and friend] Ivica Olic was already playing for Bayern.
"In general I like Germany more than England - but in the end I was sold to Chelsea."
Zhirkov also expressed his frustration at a limited number of first-team opportunities, with Blues ace Frank Lampard often preferred by former manager Carlo Ancelotti.
"Psychologically I also feel much better in Russia because at Chelsea I had problems," he continued. "For example, I would play 10 matches in a row, then Lampard would return from an injury and right away I would find myself seating on the bench.
"If you played well or badly it made no difference. It's not that I was offended but I just wanted to know why this was happening."