The highly-rated 20-year-old, who played against the Blues for FC Nordsjaelland in the Champions League last term, joined Paul Lambert's side on Thursday for a fee believed to be in the region of €4.7 million.
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"I have a good feeling it was the right decision to turn down Chelsea," Okore told Sporten.dk.
Okore says Lambert was a key influence on his decision to choose last season's 15th-placed finishers in the Premier League, and is looking forward to progression in England's top flight.
"I've got a good insight into Lambert and his plans," Okore continued.
"He knows what I stand for, and he knows what I can do. He hopes that I am myself and play the football I want to play.
"He believes that I can develop as a footballer, and therefore it was easy to say yes to him."
Okore, who was born in Ivory Coast, has been capped seven times by Denmark.