Enjoying a year's sabbatical, the former Barcelona manager ended months of speculation over his future by signing a three-year contract at the Allianz Arena.
The Spaniard was expected by many to come to the Premier League, with Manchester City and Chelsea strongly linked with the 42-year-old.
"I was surprised because I didn’t see it coming," Sir Alex told reporters. "All the time the talk was about clubs in England.
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"But if you assess it as a coach, if you're given the opportunity to manage Bayern Munich it is hard to turn down because they are probably one of the best-run clubs in Europe.
"A fantastic city, a fantastic stadium, good players, good history. It is very easy to choose Bayern Munich with all these circumstances."
Sir Alex acknowledged that Bayern's illustrious history and previous stars have a lot of influence on the current state of play at the Allianz Arena.
"Karl-Heinze Rummenigge and Uli Hoeness are involved [at Bayern]. You also have Gerd Muller working in the place and I think Sepp Maier is still there.
"That place is loaded with players who made that club’s history. They've always been that way. It's a really well-run club and I think it's easy to accept that offer because of that."