The Portugal international moved to the Saudi Pro League club last summer.
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Felix reflected: "Chelsea is a top-level club and I felt good there.
"I left because I wanted to play regularly, I did what I had to do. Now I'm happy at Al Nassr and we're having a fantastic season. We're close to winning the championship, we're in first place.
"I'm happy, I'm enjoying my football and I hope to continue like this. Did I feel my place in the (Portugal) national team was in danger? Yes, of course.
"We want to play for our club because that brings us closer to being called up."