Speaking to Lucy Zelic, the 32-year-old revealed he was falling out of love with the game in England.
"If I'm being honest, in the last seven or eight months that I was at Southend (United), I probably fell out of love with football," Cox said.
"I was starting to not be happy with what was going on at the football club.
"I was being forced out of the club. The results weren't going well. I nearly contemplated retiring.
Southend United sat second bottom of League One - with only Bolton below them due to a points deduction.
Cox was a regular at the start of the season but in December saw his minutes become increasingly limited.
"I was coming home from the games after watching from the bench. I was training, not being happy. I thought 'I don't want it. I don't want to go in tomorrow.'
"It was really tough, every footballer will have to retire at some stage. But that's the kind of process I don't want to go down again. I want to go out on my own terms.
The Republic of Ireland international also said that the Championship, where he played 157 matches and the A-League are of comparable quality.
"I get asked that more than any other question, even from the guys back home. If you put the Championship here, in the heat, the pace would slow down. If you watch any game in the Championship it's relentless, it's back and forth, back and forth.
"You wouldn't be able to have that here because of the humidity and the heat. The standard is between the Championship and League One - purely based on the heat."
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