The France international says Pippo Inzaghi's outfit has the ability to challenge at the top again following a difficult 2013-14 campaign
The France international joined PSG from Roma in 2011 and has since won two consecutive Ligue 1 titles and reached the Champions League quarterfinals in each of the last two seasons.
The 27-year-old attacker arrived in Italy on Wednesday to undergo a medical ahead of his proposed move to the San Siro giants, and told reporters he is keen to repeat his experiences in the French capital upon donning the Milan shirt.
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"I'm very happy, I want to win with this shirt as I did with PSG," he said after landing in Lombardy.
"Why Milan? Because it's a big team, not just a big club. I really hope to do well."
Menez returns to Italy to become new coach Filippo Inzaghi's first signing as the club attempts to erase memories of a disappointing 2013-14 campaign. But having previously spent three years with Roma before his transfer to Paris three years ago, he insists that he will show just how his game has progressed since his last spell in Serie A.
"Differences between this Menez and the old one? You will see on the pitch. Compared to four years ago, I have grown a lot and I want to prove it on the field."
Menez spent Wednesday evening dining with Milan CEO Adriano Galliani and will undergo a medical at the club's Milanello complex on Thursday ahead of signing a 4.5 million euro-a-year, three-year deal.