The winger, signed for £10m from Wigan last summer, has failed to make a significant impact at Villa Park, and has not been an automatic first-team choice this season.
In an interview with L’Equipe, the Frenchman explained: “I was bought for 11.3 million euros (£10m) and I am not playing. I still think I make the right choice, but speaking about the game, it doesn’t fit.
“I’m not exactly jubilant. I like to go forward, but here they ask me to defend more than attack.”
N’Zogbia also responded feistily to McLeish’s suggestion that he should focus more on football than expensive cars.
He said: “If I get paid, I can do what I want with my money. He’s not my father to tell me what I should do. He doesn’t know where I come from.
“McLeish and I had problems of communication. We discussed it, and we put our bad feelings to one side.”