The 44-year-old is widely considered one of the best defenders of all time, winning two Scudetti and two Champions League titles with Milan from 2002 to 2012 along with a World Cup for Italy in 2006.
Financial woes forced the Aquile to sell Nesta to Milan in the summer of 2002, though the now Frosinone coach admits it was a blessing in disguise as the situation at the capital club had become untenable.
“At the time I didn’t want to go anywhere,” Nesta told Christian Vieri during an Instagram Live video. “I would have stayed there for life.
“Two years before joining Milan, Real Madrid asked for me and I said you guys are crazy! I was playing for Lazio!
“Then it all fell apart and I joined Milan, and I have to thank heaven for that because I won a lot. Lazio was a great learning experience. I didn’t want to leave during my last season, but it was hard because the locker room was a mess.
“I was the captain and I was part of the board of directors. I was 23 and they were talking to me about the club’s balance, it was very stressful.
“Every day the players would ask me about their wages, as they hadn’t been paid in six, seven months. It pained me and hurt me.
“I felt under attack and I was jealous of the foreign players. When I went to Milan I only played football, as I didn’t have to focus on anything else, and it was liberating.”