The 37 year-old striker has only just undergone knee surgery.
"I'm hopeful and I've taken the first step towards recovery," the striker said. "I hope to play for this team again by the end of the season, if not then next season.
"My rehabilitation has already started and tomorrow I will continue working at Milanello. I need patience and a lot of hard work."
Inzaghi has been wished well by the footballing community and he's grateful for all the messages of support.
"Milan have been exceptional as always," he added. "[Vice-President Adriano] Galliani is extraordinary, as are my teammates and the fans.
"I thank Roma too and the other clubs and players who have been in touch. All of football have shown me great affection."