Rory has agreed a two-year deal with Guinness Premiership side Sale Sharks, but has been in and out of Scotland squads since making his debut two years ago.
"This is the level of rugby I want to be playing at and I know I have to get better," he explained in The Scotsman after Saturday's defeat in Paris.
"I feel that even if I'm not in the Scotland team there's a better chance of me improving every week at a club like Sale with the experienced internationalists there.
"It was undoubtedly the hardest decision I've ever had to make because Glasgow gave me the opportunity to be a professional rugby player, and the coach Sean Lineen and the players there have helped me reach this level.
"I will always appreciate that. But I feel I need another challenge now, particularly in the full-back position which I feel is my best, and I believe I will get that at Sale."