Wood was a prolific goalscorer for the Lions during a loan spell from West Brom earlier this season, netting 11 times in 19 appearances.
The New Zealand international striker had the chance to join Kenny Jackett's team on a permanent deal in January but opted to stay in the Midlands and sign for the Foxes.
Ahead of the Championship fixture between the two sides at the King Power Stadium, Wood said: "The reception might be one I won't like.
"It is one of those things. It will be the first time in my career I will have to deal with that, but I am looking forward to the game.
"I did very well in the short time I was with Millwall. I made myself proud. I put in the right performances and scored goals at vital times.
"I was scoring goals and playing well down there and Leicester took note of that. When they came in, I had to make a decision and I chose Leicester.
"I could have joined Millwall permanently but when I weighed it up, after speaking to the managers at Millwall and Leicester, I just felt it was right here to give me an added chance to do well.
"It was my choice to join Leicester. I looked it over for a few weeks, went back and forth on the decision, but knew my time here would be better and give me the drive and ambition to take it to the next level."