Speaking on Sky Sports' Transfer Talk podcast, the 35-year-old explained that he regrets handing in a transfer request - under the advice of his agent - less than 24 hours after the club were relegated to the Championship in 2003.
Defoe, who recently claimed he could have won the World Cup for England this summer, has gone on to have a successful career at clubs such as Tottenham, Portsmouth, Sunderland and Bournemouth - but he still regrets the way he left West Ham.
"The manner in which I left West Ham I would change. My agent, at the time, said I had to hand in a transfer request," Defoe said.
"When I was young, I didn't really understand transfer requests, I had never come across one before and my agent told me it was the right thing to do.
"I trusted my agent and I thought this must be the process - hand in a transfer request and when you do that, you would be the first out the door, that's what he said to me.
"The club had been relegated and obviously being ambitious, having scored goals in the Premier League and wanting to play for England, I knew I had to be playing in the Premier League.
"At the time, I looked at it and thought my agent must be right. He was saying all of those things to me, but even when he was saying these things to me I felt very uncomfortable.
"I went to the stadium on my own and I handed the transfer request to Paul Aldridge - he even said to me 'Who has got you to do this?'
"He was gutted because he knew it had to come out at some point. He was really upset and said that he couldn't believe that my agent had got me to do that.
"He was saying 'You don't need to do this because if a football club wants you, they will come and get you'. At the time, I thought I was doing the right thing, but looking back I'd change that 100 per cent. I think it's disrespectful.
"I had signed for West Ham when I was 16 and it was one of the best days of my life - I walked into the canteen and saw Ian Wright, who was my idol since I could walk, then Rio Ferdinand, Joe Cole, Frank Lampard and Michael Carrick.
"The year before I was at Lilleshall watching the FA Youth Cup final and Upton Park was full, so the feeling I got when I got that phone call to sign for that club, it doesn't just go. I was happy there."