Antonio Rudiger said the sanctions placed on Chelsea by the UK government were not the reason behind his decision to leave the club.
Germany defender Rudiger has been a crucial player for Thomas Tuchel at Chelsea but has not agreed to a new contract.
The former Roma centre-back will therefore leave at the end of the season on a free transfer, with Real Madrid his likely destination.
Rudiger has helped Chelsea to four FA Cup finals, winning one, and a Champions League success since joining in 2017. The UEFA Super Cup, Europa League and FIFA Club World Cup are also included in his honours.
When confirming that Rudiger had asked to leave Chelsea in April, Tuchel suggested that the sanctions placed on the club's owner Roman Abramovic in the wake of Russia's invasion of Ukraine meant the Blues were unable to match the 29-year-old's financial demands.
Rudiger, however, insisted that the sanctions had no impact on his decision.
"I don’t want to go too deep into things," he told reporters at Wembley on Saturday, after Chelsea lost 6-5 on penalties to Liverpool in the FA Cup final, their third consecutive defeat in the competition's showpiece.
"There was a chance but sanctions were not the problem.
"It’s been five years with ups and downs as normal. There were a lot of positive things, but that's why I'm even more frustrated because I wanted to have a different ending.
"It's about both sides. Chelsea have been great to me and I have been great for Chelsea. I am very, very thankful, both me and my family.
"I became a man here. My kids were born here and everything. London, and especially Chelsea, will always be special to me."
3 - Chelsea have become the first side since Newcastle United (1974, 1998 & 1999) to lose on three consecutive FA Cup final appearances, having now lost in 2019-20 (v Arsenal), 2020-21 (v Leicester) and tonight v Liverpool. Heartache. pic.twitter.com/oLjWhJtayx— OptaJoe (@OptaJoe) May 14, 2022
Chelsea have become the first side since Newcastle United (1974, 1998 and 1999) to lose on three consecutive FA Cup final appearances, while the Blues are the first team since Middlesbrough in 1996-97 to lose both of England's domestic cup finals in the same campaign, after their penalty shoot-out loss to Liverpool in the EFL Cup final in February.
"I think it was a good game just like the EFL Cup final. We had chances, they had chances," reflected Rudiger.
"But at the end of the day we know that penalties are always a lottery and we lost.
"It's about winning, it's not about next season. The game was about today and it was there to take. Unfortunately we didn't win.
"It's always difficult to say whether we are lucky or unlucky. For myself it's the third time [I have lost an FA Cup final] so you can't always say unlucky, unlucky, unlucky."
Rudiger has two games left before he leaves Chelsea, with the Blues hosting Leicester City on Thursday before closing out their season against Watford.