The 27-year-old centre-back was on the verge of being sold to the Ligue 1 side, but Rossoneri owner Silvio Berlusconi pulled the plug on the deal at the last minute
The Brazil international appeared set to join the Ligue 1 outfit, after Rossoneri owner Silvio Berlusconi admitted that the cash-strapped Italian club were simply not in a position to turn down the French side's offer of €46 million for the player.
However, the former Italian Prime Minister ultimately had a change of heart and Thiago Silva, who subsequently signed a new contract with Milan, is delighted that his proposed move to the Parc des Princes collapsed.
"To be honest, I never thought about leaving Milan," he told reporters at a press conference in Rio de Janeiro on Friday.
"In all the interviews I gave I said I wanted to stay and continue my career at Milan. But because I had done well, other clubs opened their eyes and it was only normal that an offer arrived. But I'm glad I stayed."
Thiago Silva also explained that a number of his team-mates had got in contact with him in order to persuade him to reject PSG's advances.
"I spoke to [Zlatan] Ibrahimovic, who is a great friend, as well as [Antonio] Cassano, Pato, Robinho and [Mario] Yepes, who all advised me not to leave.
"But I said that my thinking was to make history [at Milan], just as [Paolo] Maldini and [Franco] Baresi did. And to be compared with them is an honour."
Thiago Silva, who has been included in Brazil's Olympic squad, arrived at San Siro in December 2008 from Fluminense.