The 31-year-old is staying in France despite being heavily linked with a move to the Premier League with Fulham.
However, Siaka revealed his frustration that the Cottagers never firmed up their reported interest, as he would have loved to move across the channel.
"I am leaving PSG because they do not want me," he said. "It was a good experience to leave a team who won the league.
"Fulham has been linked with me, but never went in for me which they should have done. I have always wanted to play in the Premier League."
However, he does insist that he is happy to remain in France, and is looking forward to the challenge.
"Montpellier will be fantastic for me," he added. "I will have more opportunities there."