Arsenal signed Xhaka, 24, from Borussia Monchengladbach in a £34million deal last summer.
The Switzerland international enjoyed his formative years at Monchengladbach, having arrived from boyhood club Basel in 2012.
Xhaka has come under criticism at Arsenal this season for his ill-discipline – he has already picked up eight yellow cards and two reds this term.
Meanwhile, the Gunners are in disarray as manager Arsene Wenger desperately works on securing them another top-four finish.
Top five Arsenal players this season
Thu, March 23, 2017
Who are the top five performing Arsenal players in the Premier League this season, according to WhoScored.com?
1 of 6
Which Arsenal stars have performed best in the Premier League this season?
I'm not alone in London, my fiancee is with me
Arsenal are sixth in the Premier League, have lost four of their last five league matches and could lose manager Wenger plus star men Alexis Sanchez and Mesut Ozil in the summer.
And Xhaka admits the atmosphere during Arsenal training is different to what he's used to.
Get Quotes on Home Insurance
"At Gladbach, I often went out to eat with a few team-mates after the training," Xhaka told Swiss newspaper Tages Anzeiger.
"At Arsenal we usually train in the morning, after which everyone goes their way."
Arsenal midfielder Granit Xhaka says the players don't eat together after training
Arsenal sit sixth in the Premier League
Xhaka (right) spent four years at Borussia Monchengladbach until last summer
Asked if he was missing the social aspect of football at Arsenal, he added: "Sometimes when you've had it for four years.
"But I'm not alone in London, my fiancee is with me. So it's okay."
Xhaka also insisted he will come good at Arsenal and justify his hefty price tag, revealing he took time to adapt when moving to Germany back in 2012.
"In the first half year I was criticised by everyone," he said.
"And then, by the end of my fourth year at Gladbach, everything was different than initially feared.
"I can say I have done a lot of things right."