Cole, 25, claims it was a lack of respect from the Gunners which finally forced him out of the club he joined from school.
The England left-back said: "I think I gave everything in my heart to Arsenal when I was there. I was honest when I was there.
"You always want to be loved and wanted. You want respect as well. I don't think I got respected or held in high regard as much as I deserved at Arsenal.
"It has hurt. It was a club I loved and I was there since I was a boy. It's hurt me but I've moved on and it's made me stronger.
"I'll always have something in my heart for them but from now I'm a Chelsea player, I'm a Chelsea fan.
"You can't expect me to say I support Arsenal when I'm at Chelsea, it's not right is it?"
Cole emerged from Arsenal's youth ranks to establish himself in the first-team.
He insists he wanted to spend the rest of his career at the club until his relationship with the hierarchy, and especially vice-chairman David Dein, collapsed.
Cole asked for a transfer before going to the World Cup finals and clinched his move to Chelsea, last week, hours before the summer transfer window closed.
Chelsea paid £5million and William Gallas went in the other direction
Cole has vowed to expose the details of his side of the split with Arsenal in his autobiography, to be published later this month.
The book is expected to be highly controversial but he has no regrets about it.
Cole said: "The reason I've done it is not to get sympathy or change people's views of me - they are going to like me or hate me - it's just to maybe let other people have another opinion.
"All the Arsenal fans seemed to have one opinion. I don't want them to change their minds or love me again or whatever but it wasn't just all me.
"Hopefully people can understand that and see what I've gone through.
"Whether or not they believe it or like it, hopefully they can read it and enjoy it."
Cole insists his transfer was not motivated by money and resents the way he has become portrayed as a greedy footballer.
He said: "Some of you think I'm a greedy pig when it's nothing like that.
"I'm a genuine person. I want to win things and play for the club I'm at.
"It's never been about money. For me it's about respect, that's what it comes down to.
"I will take it to heart. I'm a very shy person. You probably won't believe it but I am.
"Of course when you hear bad things about you it is going to hurt.
"I try to deflect it as much as I can because I have a job to do, I have to go out and play week-in, week-out.
"It's going to be hard for me but I have to deal with it."
Source: Fox Sports
IMO I think Arsenal Got the better of the deal of the two. Cole isnt that good compared to Gallas.
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