Speaking to talkSPORT, the England international revealed that aspects of pre-season made him question his future at Molineux.
"Pre-season has been tough, the last five or six weeks have been really tough to be honest," said the former club captain.
"I want to play every single minute of every game , but I got a vibe that something's coming here, something's not right.
"I could sense things, something was happening, it didn't feel the same."
Coady was an unused substitute during the 2-1 defeat at Leeds last weekend, with Bruno Lage choosing to go with Nathan Collins and Max Kilman in a new-look back four.
"I've got to be honest, I didn't like being sat on the bench at Leeds.
"I did my best getting behind the lads, I was talking, but it didn't feel right, I didn't like it.
"At 29-years-old, I want to be playing football."
Everton completed a loan deal for the centre-back which includes an option to buy at the end of the season and a no recall clause in January.
"I feel incredibly proud and incredibly lucky - it's been a mad week and a bit of a whirlwind
"It's not just a move because it's a World Cup year, I just want to play football
"It was a really tough decision, but I really appreciate everyone at Wolves, it's a special club with special people."
Coady will be in the squad as Everton travel to Aston Villa this weekend.