Higuain had been heavily linked to the Premier League club before making the switch from Italian champions Juventus to their Serie A rivals, due to his relationship with Sarri and goalscoring record while the pair were together at Napoli.
Ultimately, the Argentine striker signed for Milan on a one-year loan with an option to buy at the end of it, having been deemed surplus to requirements at Juventus.
"Here at Milan everyone wanted me, and this is why I made my choice to come here".
"I have big respect for Sarri but he was the only one who wanted me at Chelsea", Higuain said.
"I want us to get as far as possible, I'm very happy to be here".More news: South Sudan rivals sign final power-sharing deal
In a straight swap-deal between the two clubs, Milan also confirmed the return of their defender Leonardo Bonucci to Juventus. With I Ciucciarelli, Higuain enjoyed arguably the most successful spell of his career - which included scoring a record-equalling 36 goals in the 2015/16 Serie A season.
"A team with the characteristics that can allow me to be at my best".
In an uneven season for Milan that saw the club miss out on Champions League qualification, Suso excelled with seven assists and six goals in Serie A. Higuain says he doesn't have any regrets about missing the opportunity to play alongside CR7. "It gives you goosebumps, it's special stuff", he said.
"I hope to show to be at his level and to play beside him also for the national team but all these things we will need to prove on the pitch".
"Then, I am sure they will help us to have an important season. This team has a great history and I'm very proud to be here", said Higuain.