The Rossoneri striker has not been able to replicate his best form since moving to Chelsea three years ago.
"There are no regrets. In life, everything is not perfect. I thought about the good of my family, not my career," he explained in an interview with Sky.
"It was difficult to leave the team, but I was thinking of my family and children. My family has remained in London, that was planned and things are going well."
The player also commented on the differences between English and Italian football.
"I've already spoken about this before, I think English football varies slightly. There is more pace, there is less pressure by the fans, but not by the media," he suggested.
Meanwhile, he discussed his former Blues coach Jose Mourinho, now at city-rivals Inter. The Portuguese tactician often left Shevchenko out of the line-up.
"I think he speaks very clearly with his players, saying things exactly as they are, what he is thinking. Many players appreciate that. I prefer not to speak about my relationship with him, but I have so much respect for him as a coach and a man."
Shevchenko has played a limited role with the Rossoneri this season making just 14 appearances in Serie A, only two of them from the starting XI.
Adam Scime, Goal.com