The Pole made the admission in a new documentary about his career.
He revealed in a conversation with his former Gunners manager Arsene Wenger: "It was the only moment in my career that truly broke my heart. I remember going home and bursting into tears.
"I wanted to go to Juventus because you made it clear to me," referring to Wenger, "that it was the best choice at that time and that I had to leave Arsenal."
The goalkeeper asked Wenger whether the decision to move him on from Arsenal was made then or two years earlier, at Southampton, when he was caught smoking in the shower.
"I think you had already made the decision two years earlier and that from that moment on, it didn't matter what I did," Szczesny says.
Wenger admits he made the decision two years earlier because he felt he had entered a comfort zone.
Szczesny agreed with his coach: "I really think I felt too comfortable at that point."
However, he added that after two years at Roma, there was a chance of a return, but it was denied: "You made a mistake not to let me come back."
Later in the documentary, Wenger admitted it was a mistake.