Davila, who joined Chelsea in 2011, inked a two-year deal with Wellington Phoenix in July.
The attacking midfielder has already proved a hit in New Zealand, bagging two goals in his first three appearances this season.
While Davila never achieved his dream of breaking into the Premier League with the Blues, with the move scuppered by work permit issues, the 28-year-old still looks back on the period fondly.
He instead spent four years on loan playing for clubs in Holland, Spain, and Portugal.
“It was the best experience of my life, the opportunity to go out from Mexico and sign for Chelsea,” Davila told The World Game.
“I was on loan with other teams but it was a great experience playing in Spain, in Portugal, in Holland. It made me a better player and a better person, that challenge.
“That’s what I like, facing new challenges in different countries. Every country has their system and their quality is different, so I think I was more complete playing in these countries.
“Now I feel with so much experience I improved and it made me better. For sure I have no regrets.
“Unfortunately I couldn’t play for Chelsea because of my work visa, but playing in Europe was a great experience in football. It made me work hard to be better and to be at a good level always.”
Davila was snapped up by the west London club after starring for Mexico in the 2011 FIFA Under-20 World Cup.
After departing Chelsea at the end of 2015, he played several seasons in his homeland before a brief stint in India.
Now at the Phoenix, the number 10 has hit the ground running with strikes against Sydney FC and Perth Glory.
He is the first Mexican to play in the A-League and the first to score in the competition.
“I’m enjoying playing in the A-League and with the Phoenix,” he said.
“We’re disappointed [with the start], but we are working hard. I’m happy to score goals and help the team, but the most important thing always is to win games. So we are on the way to win games, that’s the most important thing.”
Wellington has had a difficult start to the A-League season with three defeats from its first three matches. With a new coach and many new players at the Phoenix, Davila believes it will take time for the team to gel together.
"We have lost the first three games but the team is working good,” he said.
“The important thing is we are creating chances, we are starting to get more confidence and we know if we work with passion, we will get the best results possible.
“It is a difficult with a new coach, a new system and new players, also a lot of young players who are new to professional football. We believe the team will be in a very good position [soon].
“We are working hard, we are believing that we can do it. I find the A-League is a very good league, a very competitive league. It is a lot more physical but there is quality too.”
