The 40-year-old returned to the city to play for Forest's side in the Central Masters tournament on Monday.
He claims that he enjoyed his three-year spell with the Reds despite making negative comments about the city in the press after his departure in 1997.
The Dutchman told BBC Radio Nottingham: "It was the heat of the moment. I had a very good spell at Nottingham."
Roy said: "I was very disappointed how it ended up with leaving the club and getting relegated.
"Nottingham Forest is one of the big clubs in England and it hurt a bit to see the club go down instead of keeping that upwards progress.
"I enjoyed every single minute I played in that red shirt.
"It's a beautiful club with history, so Nottingham Forest should be in the Premier League every single season."
Roy's side is now through to the Central Masters Grand Final in Birmingham on 5 September.
Source: BBC Sport
Source: BBC Sport