Hayles, who now has the chance of chasing European glory with Millwall in the UEFA Cup wasn't too happy with the way he left Sheffield United.
"Neil Warnock told me that Millwall had come in for me and that in his opinion I should go there," said Hayles.
"My first reaction was shock, then I was quite angry and upset, but after I'd calmed down I thought that if that's the way the manager feels I'm better off out of it.
"Why stay where I'm not wanted?
"My pride was hurt but I know in my heart that I'm good enough to play for his team and any other in this division.
"I think he thought I was struggling to adapt to life in the north, but that's rubbish. I was happy and settled at the club.
"To be honest, I found his attitude small minded."