Shipachyov, 30, was put on the NHL's voluntary retirement list this week after playing three games for the Vegas Golden Knights, with whom he had signed a two-year, $9-million contract in May.
The terms of his deal with SKA were not disclosed.
"The promises made in the NHL were not fulfilled," Shipachyov said in an interview published on SKA's website on Saturday.
"Now I understand that any Russian hockey player must weigh up everything 10 times before leaving because the reality overseas is far from what clubs and agents describe."
Shipachyov, who scored one goal in three games for the Golden Knights, did not make the team's opening-night roster and did not play until the fifth game of the season.
He was suspended last month after failing to report to the team.
Before joining the Golden Knights, Shipachyov played four seasons with SKA and finished third in the KHL with 76 points in the last campaign.
SKA lead the KHL with 23 wins in 31 games.
Shipachyov could now play for Russia at the 2018 Pyeongchang Winter Olympics. NHL players will not be at the Games.
(Reporting by Gabrielle Tétrault-Farber, editing by Ed Osmond)
