Similar to edge-emitting lasers, vertical cavity surface emitting lasers (VCSELs) subjected to optical feedback are known for exhibiting erratic fluctuations of their optical power at slow and fast time scales; these are called low-frequency fluctuations (LFF). Here, we demonstrate both experimentally and numerically that the chaotic itinerancy in phase space associated with LFF has a deep connection with the creation of non-local correlations at multiple time scales between the two linear polarization modes. Our result provides a novel framework to interpret the unknown origin of spectral signatures in the optical power of chaotic lasers with optical feedback, which were observed in the past two decades.