The highly-rated defender is at a crossroads regarding his transfer to Paris Saint-Germain but he admitted that he and his family members wished to remain at San Siro
The 27-year-old stopper completed a €42 million move to Parc des Princes last week, despite extending his Rossoneri contract at the beginning of July.
Zlatan Ibrahimovic followed in Thiago Silva's footsteps on Wednesday and signed a three-year deal with the Ligue 1 giants, speaking of 'a dream move' at his official unveiling.
However, the Brazilian does not share as the Sweden striker's sentiments and admitted to having mixed feelings about his new challenge.
"I was happy with the transfer and sad about my exit from Milan because I experienced there were some strong emotions there," he told reporters at a news conference.
"This is football: one day you are here, the next day you are somewhere else. I had signed a new deal with them a week before.
"People call me a mercenary, which leaves me upset. I am not making more money at PSG. This is not my fault, I would like to apologise to the fans.
"This was a difficult situation for me: I did not want to leave Milan, and neither did my family. But it was a positive thing because [PSG sporting director] Leonardo and Carlo Ancelotti called me.
"When I joined Milan, it had also been Leonardo to call me. I really like him. PSG are a dream club, like Ibrahimovic said."
The futures of Hulk, Oscar, Lucas and Leandro Damiao have been subject to conjecture over the summer, and the 27-year-old is worried that some Brazil players may not be completely focused on the Olympic Games in London.
"To be honest, transfer speculation sometimes is a negative thing," he added. "You are focused on a competition, and then some website says that this or that player could leave... It is hard for us.
"I had that recent transfer and it was hard for me while nothing was decided. It is important that these things are solved as quickly as possible."