The striker, who joined Ajax for £20million in January, became West Ham’s club-record signing when he arrived from Eintracht Frankfurt for £45m in 2019.
Haller struggled to settle in the Premier League, managing just 10 goals in 48 appearances and has now suggested that his price tag was a heavy burden.
West Ham's style rarely seemed to suit Haller, whether it was Manuel Pellegrini or David Moyes in charge, and the Ivory Coast international says he had little connection with his team-mates.
Speaking to talkSPORT on Tuesday, Haller said: "Usually I am never looking back, no regrets. Of course I feel frustrated because it is like I left without finishing something. That is a bad feeling.
"Of course when people are talking about the price tag every day they are waiting every day for something for this money. You can do nothing about this price, it is the price tag you have on your back for all your West Ham career. People will see you with another view, they expect even more from you than someone else.
"It was really frustrating to see games coming and no goals, sometimes not involved. The stats are something but I had the feeling that I couldn't find a perfect place on the pitch. The feeling that sometimes you don't understand or cannot anticipate what your partner will do. It was really strange."
Haller is back working with his former Utrecht manager, Erik ten Hag, at Ajax and has scored seven goals in 11 games for the Dutch giants so far.
West Ham have risen into the Champions League places over recent weeks - a development that has not come as a great surprise to Haller.
"We knew the potential was there, the guys have made incredible work," he said.
"I really hope that they will finish in the Champions League spots. It will be amazing for the club, fans and players. They deserve this."