McClaren took over for a second stint at Twente earlier this month after leading the Enschede club to the only league title in their history in 2010.
Expectations are naturally high, with the Dutch side currently third in the table and in a strong position to lift the trophy for a second time.
McClaren, who has spent ill-fated reigns managing Wolfsburg and Nottingham Forest since leaving Twente, is aware he could risk his legacy returning to De Grolsch Veste but says he did not want to take an easy option.
"What I have tended to do is take risks," the former England boss told The Independent.
"I took a risk with the England job and it was a risk coming to Holland, it was a risk going to Wolfsburg and then going back to the Championship in England.
"My development has always been a bit different, with different challenges, from being a coach at Manchester United to England and then moving abroad.
"These are experiences that a lot of people haven't had. Some of them haven't worked out for me but I have never played it safe or waited for the easy option."
McClaren returns to Holland on the back of a spell in the Championship with Forest, where he spent 16 weeks before walking away in October.
He blames the club's "lack of ambition" for his exit and is looking forward to getting started with Twente, who he feels are a club on the rise.
"The challenge is the same as it was when I left," he said.
"The club is growing and developing. We won the championship, and the ambition was to play in the Champions League. We achieved that."
He added: "I went (to Forest) expecting one thing and I left because they couldn't deliver it and they are still now a long way away. It was the wrong club on both sides.
"There was a distinct lack of ambition and I don't think there's any money now. They haven't spent a lot."
