The France international feels honoured to have signed for the Italian champions and has set his sights on European glory
The 29-year-old leaves Rome for Milan on a Bosman move at the end of the 2010-11 campaign, and he told France Football that winning the club game's biggest prize was a factor in his decision.
He stated: "I made the decision to leave Roma last winter. I took all things into consideration, both personal things and the sporting aspect. I knew that AC Milan had been keeping tabs on me for about two years and our paths had to cross at some point.
"Milan are a superior club, just like teams such as Manchester United, Barcelona and Real Madrid. I never hesitated when Milan made an offer. I come here to win the Champions League at some point."
Mexes then went on to reveal that Real Madrid were also interested in signing him, but that he preferred to stay in Italy.
"I could only play for Milan or Roma in Italy. I would have moved abroad if I hadn't signed for Milan. Real Madrid also wanted me and I seriously considered it. However, I eventually decided to stay in Italy."