The Ghanaian was brought in from Portuguese giants Porto on a five-year contract and swiftly sent on loan to Eredivisie side Vitesse.
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"I'm happy because as a player you always want to be playing to stay in good shape," he told BBC Sport.
"When Chelsea came for me, I saw a good opportunity to work with a massive club and a great coach.
"I know I have to prove myself at Vitesse first and I'm determined to do just that."
Atsu revealed that he hopes to follow in the footsteps of countryman Michael Essien and Ivory Coast superstar Didier Drogba, but has a long way to go before reaching their level.
"I have a lot of respect for Essien because playing for one of the biggest clubs in the world is not easy," the former Porto man added.
"I know that I've a long way to go to get anywhere close to what he's done. Hopefully, one day I'll be mentioned in the same breadth as Essien and Didier Drogba."