The Italy striker was paraded by his new club on Friday after completing his £17m switch back to Serie A after three years away.
"I have to say thanks to all the City fans because they've been very nice to me and they always supported me in the good and in the bad moments," he said.
"And I have to thank my team-mates and the manager. Everything else, I'm happy that I left England.
"Good things - only when I get to Carrington to train. So my team-mates and manager. And the bad things? Everything else.
"The press, first. The weather. The food. The way you drive. That's it.
"To be honest the Premier League is an amazing league and I think it is the best. The crowd and the pitch ... it's an amazing league.
"I don't know in the future if I could come back. For the moment I'm here.
"To be a player for Milan has always been my dream so I'm very happy.
"Now I'm at Milan it's very important above all because I am close to my family and friends. Manchester is not so far, but it's not close like Milan."
Milan vice-president Adriano Galliani presented Balotelli with his number 45 shirt before thanking the Premier League champions for their co-operation in allowing the deal to go ahead.
He said: "As a club we are happy to bring back our Italian player after long negotiations and have to thank Manchester City in helping this transfer to go through. It was the most complicated in my career.
"We are happy that Balotelli has joined the team he supported as a boy and it has been a dream of mine for a long to bring the player to the club.
"I always said it was 99.9 per cent that it would not happen. I was just being realistic, but now it has happened."