Mexes has struggled for game time under Filippo Inzaghi, but has started both of Milan's last two fixtures, against Sampdoria and city rivals Inter.
The Frenchman believes his exile might have something to do with his decision to remain at the club during the transfer window, but says he never had any intention of departing San Siro.
"I was probably out of the team because I have refused a transfer last summer," he told Corriere della Sera.
"There were no specific offers: I discussed the possibility with Milan, but not in too much detail. In any case, last summer I did not want to go away.
"And to be honest, why would I want to leave Milan after winning my place back under [former coach Clarence] Seedorf?
"I wasn't playing when he first came in either."
Mexes also expressed frustration that similar players had been brought to the club, seemingly ousting him from first-team contention.
"[Adil] Rami has been signed permanently and Alex, who is the same age as me, came in," he continued. "For me, it was like a blow to the head."
However, Mexes, whose contract expires at the end of the season, has his sights set on a new deal and insists money will not be a factor when he decides his future.
"I do not make an issue of money, even if it is true that I have a good contract," he added. "Always - at Auxerre, then Roma and now - I have always respected my contract until maturity.
"I've tried to be professional, regardless of the money that comes into the bank at the end of the month."