The 29-year-old defenceman will play for Storhamar in the premier Norwegian ice hockey league until 2024 after agreeing lucrative terms at his old club.
However, he says he is still disappointed by the lack of silverware in the EIHL, in a season that started to go wrong for Sheffield in March, when they went from being two points clear at the top of the table to four points behind the leaders, in the space of just four games.
That has rankled with the entire dressing room, although few will dispute Belfast Giants deservedly ended up as champions.
Saxrud-Danielsen originally left Storhamar in 2015 but they were able to woo him back.
"Basically, I’ve been away from my home for over seven years now, it was time to be around my family and my close friends," he told The Star.
"Storhamar is my home town team, and they gave me an offer I couldn’t refuse.
"They really wanted me back, to be a big part of their team and a needed veteran (the average age of the team is 25)."
The player has very positive feelings about his first full season in South Yorkshire.
"It still was a hard decision because I feel Sheffield is like a second home for me. The welcome I got was all love and they made me feel loved all year.
"So this is not a goodbye, it’s an 'until next time.'
"I am still very upset about going through a trophyless season, so that is something I will take with me for a long time.
"And I want revenge for that in the future. I will miss the boys, fans, the atmosphere and the city. For sure I can return in the future."
STEELERS RISE THROUGH ATTENDANCE RANKINGS
Meanwhile, Steelers have gone from 28th to sixth place in the European attendance rankings.
It's an inflated figure as German rinks were empty because of covid restrictions for large parts of the year, but Sheffield still sees it as a great achievement.
The International Ice Hockey Federation posted: "The big winner in the ranking was the Elite Ice Hockey League from the United Kingdom. Numbers only decreased by 5% and with an average of 2,885 spectators the Brits were fourth in the European ranking behind Switzerland, Sweden and Germany but before powerhouses Finland, Czechia and the KHL."
The top six in 2021/2022 were SC Bern (SUI) average 13,348, Frolunda Gothenburg (SWE) 8,531, Fribourg-Gotteron (SUI) 8,324, ZSC Lions Zurich (SUI) 8,020 EV Zug (SUI) 6,708 and Sheffield 6,693.
Of the other EIHL teams of note, Nottingham Panthers came in 27th with 4,740, Belfast Giants were in 37th with 4,155, Glasgow Clan (GBR) were 62nd 2,772.
Elsewhere, Omar Pacha has been confirmed as Panthers' new chief executive, joining from Dundee Stars.