Draxler, 21, became the youngest player to appear in a Royal Blue shirt at the age of 17 years and 117 days.
He then became the youngest German goalscorer in the UEFA Champions League at 19 years and 13 days, before being named Germany's youngest ever captain at the age of 20 years and 235.
With those records, expectations for his career were high and he told Kicker magazine that, ultimately, he could no longer cope with them.
Draxler moved to Wolfsburg at the end of the transfer window to fill the boots of Kevin De Bruyne, who moved to Manchester City.
"I reached the conclusion that I was never going to be able to cope with the pressure and weight of expectation at Schalke," Draxler said.
"Even after I had been out for six months injured, I felt that I was still expected to win games all by myself.
"I realised that the time had come for me to go in a different direction."
Draxler's move away from his home-town club angered Schalke fans, who thought he was going to spend his entire career with them.
"It is not true that tradition or emotion mean nothing to me," he said. "It was always very nice to be part of Schalke, where the fans live for the club with every fibre in their body.
"But I just got the feeling that this was all hampering me personally, because I was having to deal with far too many other things than football."
Draxler could make his debut for Wolfsburg when it hosts Hertha Berlin on Saturday.
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