Antonio signed for Nottingham Forest from Sheffield Wednesday in August 2014 and his impressive performances at the City Ground attracted attention from Premier League sides.
The 25-year-old made the move to West Ham on transfer deadline day last year and admitted he had no idea a move to the club was on the cards.
He told BBC Radio 5 Live's Mark Chapman: "I thought I might be signing for West Brom, there was loads of links, but nothing with West Ham.
"I didn't really hear anything until i basically signed the contract, it came out of the blue.
"They (West Brom) put a bid in and I thought I would end up in Birmingham, but now I'm in London, back home."
Antonio added that instead of listening to transfer rumours in the papers, he learned of West Brom's interest after they made a bid, and Nottingham Forest were required to notify him.
If West Brom had fronted up the cash beforehand they may well have got their man as they appeared to lead the chase before letting West Ham nab him late in the window.
The move appears to have worked out for Antonio despite a slow start, working his way into the side over the past few months, and the Hammers sit in seventh position while West Brom are in 14th position.