Toffees manager Marco Silva confirmed late in the transfer window that the club had knocked back a £22 million ($29m) offer for him, but the French outfit returned with a larger bid reported to be around £26m hours before the deadline.
“It is a dream that sadly did not come true. Every player works to join the best teams, to play in such matches in the Champions League," he told L'Equipe. "But I was honoured that PSG were interested in me. Now, I know that I am of interest to that type of club, that I am ready to go to the final level to join a top European club. I am going to work even more so that they come back for me. Maybe it is not finished with PSG.
"I was ready for PSG, so I am disappointed, but I also see that the work pays off. I grew up at the academy at Diambars in Senegal, I came to Lille, then I went to the Premier League with Aston Villa. Then, a notch above to Everton. All of this is linear. I built myself, PSG embodied the last great step that I'm missing."
The 29-year-old revealed how he found out about the interest from the French side and says he pressed Everton to work out a deal.
"There was an information session with my entourage at the end of 2018. The contacts accelerated when the transfer window opened," he added. "PSG asked my agents to find out how I could get out, but Everton put the brakes on immediately, they did not want to sell me.
"I pushed, I met the club leaders to tell them of my desire to go to PSG. It was a golden opportunity, a huge challenge not to be missed at 29 years old. PSG came back to me and then Thomas Tuchel called me.
"There were two [bids], the last one just at the end of the transfer window. I put the pressure back on Everton, I told them again that I wanted to go, it was also a very good offer, Everton bought me for £7m from Aston Villa in August 2016. Two and a half years later, I could get them nearly four times as much back.
"I could certainly come back to France, my second country after Senegal. Part of my family lives there, I have a lot of friends too."
Gueye joined Everton from Aston Villa in 2016 and has a contract that runs until 2022.