The 33-year-old had spent his whole career in English football, but has now signed a two-year deal with Italian giants Roma after slipping down the pecking order at Stamford Bridge.
"English players are probably afraid to come abroad, they're in a comfort zone in England," said Cole, who retired from international football after being left out of England's World Cup squad.
"This is a chance for me to try a different language, culture and way of living."
Cole is one of a handful of English footballers to play overseas, along with the likes of striker Jermain Defoe, who left Tottenham to sign for MLS side Toronto FC, and ex-Chelsea defender Michael Mancienne, who signed for Bundesliga side Hamburg in 2011.
Veteran midfielder Frank Lampard, a former Chelsea and England team-mate of Cole's, has also been strongly linked with a move to new MLS side New York City.
Welshman Gareth Bale has made a success of his world-record move to Real Madrid, while highly-rated Scottish teenager Ryan Gauld recently made a £3million move to Sporting Lisbon.
English footballers have tended to stick to home comforts during the Premier League era, with only occasional high-profile exceptions such as David Beckham, who was 28 when he moved to Real Madrid from Manchester United, and Michael Owen, who was 24 when he left Liverpool to join Real Madrid for a short-lived spell at the Bernabeu.
Meanwhile, Cole said he was still as ambitious as ever but did not expect to walk into the Roma team.
"As soon as I spoke to Rudi Garcia and I saw how much they wanted me here at Roma I jumped at the chance," added Cole, who will play alongside club legends Francesco Totti and Daniele de Rossi at the Stadio Olimpico.
"I came here to play in the Champions League. Roma is an ambitious club, it's a challenge for me and I'm prepared to fight for my place.
"Hopefully we can do something special next season and win the league."
Watch Roma in Champions League action on Sky Sports 5 - the new home of European football - next season
@o.k. - Like he had to leave the country earlier in his career when he was already playing at the top level and considered the best LB in the World. Wasn't just people in this country that were surprised with his omission from the World Cup squad. I wish him luck in Italy although he won't need it as the game is a lot slower paced over there.- chelseablue_no1