Former midfielder McStay spent his entire 16-year career at Celtic before being forced to retire through injury in 1997.
Far from being set up for life, the 45-year-old still has to work to support his family.
He therefore would not begrudge anybody the opportunity to earn as much as they can while they are still playing.
"My football career was taken away from me from a very early age," McStay said.
"I've got to work very hard now to earn a living and look after my family.
"So, based on that, you'd probably think in a different way."
He added: "Financially, it is a very short career and most of the players have young families.
"I think you've got to look after yourselves.
"If there's an opportunity to secure your future financially, I think you've got to look at that."
Although McStay can understand the monetary motivation for Caldwell jumping ship, he cannot see how it would benefit him from a footballing perspective.
"If you're talking about playing for Celtic or Rangers, you're talking about a couple of the top clubs in Europe," he said.
"From a football point of view, I'd have to think twice about that.
"Celtic Football Club is a magnificent place to play your football and there's the Champions League.
"You'd have to weigh up that and what the opportunities down south were."
McStay believes the loss of Caldwell, 27, is a big one for Celtic but reckons Tony Mowbray has signed a "quality" replacement in Jos Hooiveld.
"Gary's a great player, has been a great servant to the club," McStay said.
"Tony's already made a signing to hopefully fill that gap and, by all accounts, he's a quality player.
"Gary will be a loss; it's disappointing to see him go.
"He made that decision but, again, Tony's had that in mind and he's immediately filled the gap."
Caldwell's departure was just one of four from Parkhead on Wednesday as Barry Robson, Chris Killen and Willo Flood all completed moves to Middlesbrough.
McStay, who played alongside current Parkhead boss Mowbray for four years in the early 1990s, said: "We we very much aware that Tony wanted to bring in one or two players and there are players who have left the club.
"He's made one or two good signings as well."
Celtic currently lie seven points behind Rangers in the SPL with a game in hand and McStay added: "If you look at the last performance against Rangers, I thought Celtic were outstanding and unfortunate not to win the game.
"With some new faces in, maybe that will improve the squad as well.
"Although they're a few points behind Rangers, I think there's still plenty of time to close the gap.
"Both sides have got their problems as far as injuries go.
"I think there's an opportunity - no matter who's in the Rangers squad - for Celtic to close the gap."
Despite being less that seven months into life in the Celtic hotseat, Mowbray has already come under criticism for the club's performances this season.
Speaking as Tesco Bank announced plans to invest more than £1million in a new sports programme for primary school children, McStay said: "It's only six months in, although nowadays people think that's quite a long time in football.
"He knew what he wanted to do when he came in; he had one or two changes in mind, and he had to wait to the January window."