The veteran striker says that making the move to the Nerazzurri was the right call and believes Italian clubs must learn to live without top players
The striker, 35, made the move to the Giuseppe Meazza outfit this winter after nearly nine seasons at the Stadio Olimpico side and he has since netted two goals in 10 Serie A appearances for his new club.
"It was not easy to leave Lazio because I played so many games there and I'd become an idol," Rocchi told Inter Channel.
"I'm happy I decided to come to Inter, though. I wanted a new challenge and they don't come much bigger or more intriguing than Inter."
The experienced attacker then went on to discuss the changed status of Serie A and stated that Italian clubs can no longer afford high-profile names.
"There's certainly less money about nowadays. Top players win you games and at the moment they're very expensive. So now you have to try and unearth the stars of the future and hope they really flourish.
"What shouldn't happen is that the players you bring through are then taken away from you."
Inter are currently preparing for their league game away against Napoli on Sunday with a hope to turn their poor away form on its head.