The Italy international completed a £19 million move to San Siro on deadline day after two and a half years at City, where he regularly courted controversy off the pitch.
“I want to thank the City fans," the 22-year-old said at a press conference. "They always supported me, no matter what. I will always remember training with my team-mates there, and the matches.
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“The rest though, I will not miss. The Premier League is a great league, but I am only thinking of this adventure."
Balotelli, who spent four years with Milan rivals Inter before moving to the Premier League, went on to reveal that he plans to celebrate if he scores against his old club in the upcoming Milan derby, while also saying he holds no grudge against Silvio Berlusconi who recently called him a "rotten apple".
"I would celebrate if I scored in that game. I don't think the Inter fans have any right to be angry with me and obviously I will be whistled but that's football," he continued.
“The president has apologised for calling me a rotten apple. But I did not hear anything anyway. I have never voted in any election, and I'm not ashamed of that.
“Anyway, it's a dream to play here. I've wanted this for a long time, and now I just want to play. It is not a burden to be here but a real honour instead. I have always wanted to play for Milan
"I return as a man now and I hope to grow as a player and I hope to stay as long as possible. I grew up a lot in England after I left Inter. With Inter, I won a lot sometimes playing and sometimes not. But, here I want to be a protagonist.
“I want to be an important player for this club. Being here really is a dream, however, I'd rather let my football do the talking.”