The former footballer and dad-of-four says he finds the children's building blocks toy 'therapeutic' and that it 'helps to calm me down'.
He told the Sunday Times Magazine: ''When the kids finish school, they might have different activities going on, like football or rugby.
''But when they get home we'll often play one of their favourite games, like Connect 4.
''They also love Lego. So do I. The last big thing I made was Tower Bridge. It was amazing.''
He added: ''I think Lego sometimes helps to calm me down.''
The 38-year-old said playing with Lego is similar to cooking, which he finds 'very therapeutic'.
Lego's Tower Bridge has 4,287 pieces, costs £210 and is recommended for people aged over 16.
David moved with his wife Victoria and four children into a luxury west London home last year and said he enjoys spending time in the capital's parks and pubs.
He said: ''I love living back in London. 'I enjoy its big parks, especially ones like Battersea. I love walking through them after I've been playing five-a-side with some friends.''
He added: ''One thing I really love about being back here is the pubs – I even have a couple of locals that I actually go to. The people there know me, so it's easy enough to go in and have a pint.''
In the article, he also describes his friendship with Tom Cruise.
He says: "Maybe once a week, we'll meet friends for lunch. When we were living in LA, Tom Cruise lived two minutes away. He's a good friend."