The Spaniard, who was unveiled as new Latics boss on Tuesday, wrote an open letter to Swansea fans in the South Wales Evening Post.
"To say that these had been the hardest two weeks of my life is an understatement," he wrote. "Over the past two-and-a-half years I've given my life to try to put Swansea City where it belongs with style and good football.
"I never thought this moment would arrive, but there are a few reasons why I have had to make this decision.
"It would have been easy to stay, but it would have been the wrong decision.
"I hope you've been proud of the football and the team over the last two campaigns. I feel proud to have been part of the journey."