The striker - who joined the Nerazzurri from Parma this summer - has been compared to Madrid man for his similar eye for goal and direct style.
Belfodil revealed people have made the same comparison many times before and admits he is delighted to be mentioned in the same breath as his compatriot.
“It is a compliment for me and it’s not the first time I have heard that, but I don’t want to think about it,” he told L’Equipe.
“It is only normal that there will be comparisons, seeing as we share origins and football characteristics.
“I ran a risk when I first went to Bologna, but I wanted to believe in it. At Lyon everyone said they were counting on me, but ultimately there was very little faith in me. I had little playing time, but I have no rancour.”
The 21-year-old signed a five-year-deal at San Siro earlier in July but suffered a nightmare start to his time at the club after missing two penalties on his debut in a pre-season friendly against Trentino.