"I've got very fond memories of West Brom and I've had nothing but good wishes from people," he told the Birmingham Mail.
"It was a hard decision to make because of my respect and my high regard for Tony Mowbray as a manager and as a person.
"But the same goes for the person I am joining at Leicester, Nigel Pearson. These are two guys I hold in high esteem.
"I made the decision for the sake of my career and hopefully it will turn out to be a good one."
As well as his one season at Glanford Park, Shakespeare also played for Walsall, West Brom, Sheffield Wednesday, Grimsby Town, Telford and Hednesford Town.