The Italy international striker was eager to play abroad after Serie A club Roma made it clear they were planning to sell him to the Premier League side
The Italy international signed for Southampton in a club-record deal in August, and is pleased with his decision to make the switch to the Premier League.
"I found a good group of players and I am relaxed, which is the important thing," he told Sky Sport Italia.
"I wanted to try an experience abroad, Southampton wanted me and so I decided they were the best option for me.
"I am really happy. I need to adapt to their style of football, which will take a little time, but I have faith."
The 27-year-old - who is currently on international duty with Italy - went on to explain that the decision for him to leave Roma was mutual between himself and the Serie A outfit.
However, he added that he was left in no uncertain terms with regard to the club's position on his future.
"Was I in exile [at Roma]? No, I didn't feel that way," he said. "I decided to leave along with the club, who made it clear they wanted me to go.
"What do I say to the fans? The normal fans always showed affection for me. Then there are those who don’t experience love the right way and fortunately they are in the minority."