The Frenchman, 31, chose not to renew his Arsenal contract when it expired at the end of last season and joined the current Premier League champions on a free transfer.
Walcott, though, says he would have preferred Sagna to stay at the Emirates Stadium as he always got on 'really well' with the right-back.
He does, however, believe he left Arsenal on the best possible note - helping end the club's nine-year trophy drought in the FA Cup final.
“I definitely would have liked him to have stayed,” Walcott told the London Evening Standard.
“I always got on really well with Bac. We had a lot of years together and it was sad to see him go but he left at a good time personally, winning the cup in his final game."
Since Sagna's depature, Arsenal have strengthened their squad considerably in the transfer market, signing Mathieu Debuchy, Calum Chambers, Alexis Sanchez, David Opsina and Danny Welbeck.
And, despite expressing his regret at the Frenchman's exit, 25-year-old Walcott does believe Arsene Wenger's side are stronger now than before Sagna left.
"You see the players we have got in [since the defender moved away] and they have made us better, definitely.”