"I arrived here with Ivan Gazidis and all the conversations we had were important for me to find the best impression of Arsenal and it's future," Emery told Sky Sports.
"He had this chance to leave for Milan - I respect it, it's a very personal decision. We would prefer for him to continue working with us but I respect him a lot as a friend and I want to keep a good relationship with him.
"We are still working to improve with the very good professionals we have at the club. I still have a lot of confidence with the club and the people who are still here."
Emery began his reign at Arsenal with consecutive defeats in the league by Manchester City and Chelsea, but has since managed to win four games in a row in all competitions.
His side host Everton in the Premier League on Sunday and the Spaniard believes the team are gradually adapting to his desired style of play.
"Little by little we are making progress," he said. "We have won two matches away, which is a small but important thing for our confidence. We are finding balance but need to continue working on the details."
(Reporting by Simon Jennings in Bengaluru; Editing by Christian Radnedge)
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