“I didn’t shed one tear when I left TNA. I was very emotional when I left New Japan,” Styles said. He mentioned that he had nothing but respect for NJPW, and that the opportunity to work for them helped make his decision to leave TNA.
Styles also noted that he was approached by WWE in 2002 and was offered a developmental deal, but it would have conflicted with his family life so he turned it down. Styles also feels he wasn't ready for WWE back in 2002.
You can see the full interview here: AJ Styles - Leaving TNA & New Japan, Vince McMahon, WWE at MSG, etc - Sam Roberts