The 26-year-old left Toulouse for the Ramon Sanchez Pizjuan in a reported €9 million deal last July, after scoring 23 goals in all competitions in an impressive 2015-16 season.
"Spain is another world. It's not the same as Ligue 1. I would have liked to play there before now," he told Telefoot.
Asked if PSG had made an offer, he replied: "Yes, but I made my choice. I have no regrets."
Ben Yedder was an unused substitute in Sevilla's 2-1 first-leg win over Leicester City this week, but he is determined to help his side progress to the quarter-finals of the competition for the first time.
"It's the first time that I've played in a big competition like the Champions League. It's like a dream come true," he said.
"We're in the round of 16, so why should we not get to the quarter-finals for the first time? It would be something historic."