The 24-year-old, who was co-owned by Torino and Juventus, impressed for the former in 2013-14 as he netted 22 goals to win the Serie A top-scorer title and Conte was keen to work with the striker at the Italian champions on a permanent basis.
However, Juventus opted to sell their part of Immobile's economic rights to Dortmund rather than purchase him outright, allowing the striker to move to Germany before Conte ultimately stepped down as coach amid reports of a disagreement over transfer policy.
"I spoke with Conte and he wanted to take me back to Juventus," Immobile was quoted as saying by La Repubblica.
"However, Juventus then reached an agreement with Borussia Dortmund. In the end, they were the ones who made the final decision."
The striker went on to stress that he has adjusted to life at the Bundesliga giants quickly and says he enjoy working under coach Jurgen Klopp.
"I have settled in very well at Dortmund. Klopp really likes the way I pay and fight for every ball. He sees me as a true warrior.
"Klopp is a coach with a lot of charisma."