Sinfield, 35, switched codes to join Yorkshire Carnegie in October after helping the Headingley side to the treble in his final season.
He captained the Rhinos for 13 years and won seven Grand Finals, three World Club Challenges and two Challenge Cups.
"I'll miss playing rugby league every day for the rest of my life, that's just the reality of it," he told BBC Radio Leeds.
Following Sinfield's departure, the Rhinos have made a slow start to the 2016 season, losing four of their opening six league games and suffering defeat by North Queensland Cowboys in the World Club Challenge.
"I want the Rhinos to do well because there's a big part of me still in there," Sinfield said.
"It's been tough to watch but it would have been hard if they'd won every game because I miss the lads and I miss playing.
"It had to end at some stage."
Sinfield, who finished second in BBC Sports Personality of the Year 2015, helped Carnegie reach the final of the British & Irish Cup on Sunday.
He made his debut for the club in November and has admitted he underestimated how big a change he was making when he switched codes.
"I'm learning and I'm getting better every week," he said. "When you look at it from the outside you think they're very similar but the longer I have been in it the more distant apart the games are.
"The experience has been good and I'm really glad I did it."
Leeds Rhinos legend Kevin Sinfield says he misses rugby league "every day".