The full-back has joined Serie A side AC Milan on loan for the remainder of the season but was reluctant to approach the City manager about expressing his desire for a new challenge.
Walker told reporters at his Milan unveiling: "When I spoke with Pep it was not a very comfortable conversation because of the respect that we both have for each other and what we've achieved at Manchester City.
"Everything that he's won at Manchester City, I've also won.
"I would like to think that he knows what I bring to the dressing room and the atmosphere that I create.
"I'm here to play football. I'm here to work with my teammates. But at Manchester City, it was my family, from the cooks to the cleaner to the kitman to the physios. I have to try to find the same here."
Walker has endured a difficult season at City but is determined to add to his trophy haul at Milan, where he has an option to make his loan deal permanent in the summer.
The England international said: "Obviously things at City weren't going too well and I wasn't playing as much football as I wanted.
"I could have stayed in Manchester. I still had a contract there. And I would have [respected] that contract if they wouldn't have let me leave. But I think it comes down to challenges in life.
"I don't want to just win things in one country. I want to come to another country and also win there as well. If I wasn't going to a big club I think I would have stayed in the Premier League, stayed at Manchester City and continued my career there.
"But when a club like this comes knocking on the door for you - I think there's only certain clubs in the world that you can kind of not say no to."