Taye Taiwo claims he rejected an approach from Real Madrid over the summer in order to sign for Milan.
The Nigerian put pen to paper on a Rossoneri deal after his contract with French outfit Marseille expired.
"I chose Milan because to play in Italy was always a dream of mine," the left-back, 26, revealed.
"Real Madrid also tried to sign me, but I am sure that I made the right decision in saying yes to Milan," he added.
"It's great to be here surrounded by so many champions and I want to stay for some years to come."
Taiwo has had his problems settling in, but he's sure that he and his club can have a successful season.
"Football is more physical in France," said the player who spent six years with his previous Ligue 1 outfit. "In Italy, things are more tactical and I need to improve my movement off the ball.
"As for Milan, I think that we can win both the Italian championship and the Champions League."
Milan beat Lecce 4-3 on Sunday to move on to 11 points in Serie A – four behind current leaders Udinese.
Tickets for the Champions League final between Juventus and Real Madrid are still on sale with reseller Viagogo - Click to find out more