Last summer, Jadon Sancho did exactly that.
City were extremely keen to keep the hugely talented English forward but Sancho - concerned about his first-team prospects - signed for German side Borussia Dortmund for a reported £8m on 31 August.
Since then, he has won an Under-17 World Cup with England, become friends with Pierre-Emerick Aubameyang and started to make an impact in the Bundesliga.
Earlier this week I sat down with him for his first major interview since he left the Premier League and encountered a polite, personable, softly spoken young man.
However, more than anything else, what shone through was Sancho's fierce determination to succeed.
Sancho had the chance to join Barcelona and Real Madrid when he left City in August.
Instead he opted for Dortmund - the club where Liverpool boss Jurgen Klopp became famous, where Matthias Sammer won the Champions League and the Ballon d'Or. They play their home games at the magnificent Westfalenstadion, in front of the legendary 25,000-capacity 'yellow wall' at the south end of the ground.
Sancho has been given the number seven shirt, previously worn by Ousmane Dembele before he was sold to Barcelona for £135.5m last August. Most importantly, he has been given a chance.
From the resumption after the winter break in mid-January until he suffered the ankle injury that will keep him out for another fortnight, Sancho played in four successive games, starting three.
The reaction, from fans and management, was overwhelmingly positive.
Sancho is yet to score but he created a crucial goal for Shinji Kagawa in a 1-1 draw at Hertha Berlin and impressed with his dribbling and desire to get on the ball. He was named the Bundesliga's rookie of the month for January.
"To play for the first team, in front of the yellow wall, is a dream come true," Sancho told BBC Sport.
"I would have taken any number but getting seven was a big boost to my confidence. It doesn't faze me. It is about coming here and proving myself. That is why I am here."
Speak to senior people at Manchester City and they will say Sancho was listening to the wrong advice when he turned his back on a very lucrative contract. City signed him from Watford as a 14-year-old and he played in the same teams as Phil Foden and Brahim Diaz, who have both gone on to appear in City's first team this season.
Others who have worked closely with Sancho have defended his support network, insisting they always act in the teenager's best interests and have immense belief in him.
Sancho does not want to discuss why he left City but is keen to stress the importance of the people around him.
"It is good to have the support I have," said Sancho. "I am blessed that I have family around me wishing me good things."
It is clear his family are strong influences in Sancho's life. His dad lives with him in Dortmund and although he badly misses his mum's cooking, Sancho is learning German and showing the focus and determination that has already taken him on an extraordinary footballing journey.
Sancho has referred to the area where he grew up, in the south London district of Kennington, as "the hood".
It is a place he owes a lot to, and where he first started kicking a ball with his friends.
But Sancho accepts that if he had remained there, his situation might be very different.
"Life would not have been too good for me because there were a lot of bad people," he said. "I just wanted to get away. What might have happened if I hadn't is with me all the time."
Sancho was spotted by Watford at the age of seven and two years later registered with them as a player. For three years after that, he travelled three times a week from home to Watford and back, for training and games.
In theory, going the quickest route straight through the centre of London, it is a round trip of about 45 miles and takes two hours. But after school, moving into rush hour, the journey could easily take twice that.
"It is a massive commitment," said Watford's head of academy Chris McGuane.
"We still want them to be kids. We don't want them to spend all their time in a car, eating in the car. That is why we board some of them them at Harefield." AGENCIES