"I remain extremely close to Lazio, as they will forever be in my heart. I am tied to those colours and the first thing I ask at the end of every Milan match is Lazio's result," he told Radio Spazio Aperto.
"I played there for five years - six months as captain - and it was an unforgettable experience. I was upset at having to leave and did everything I could to stay, but faced with such a huge offer from Milan it was impossible for both myself and the club to say no."
Even after Oddo's January move, the Biancocelesti continued to impress and finished third ahead of Milan.
"Lazio made a choice, one that proved to be smart, to focus on youngsters and balancing the books. In Delio Rossi they have a Coach who really knows how to help younger players grow.
"Rossi is an exceptional tactician and he taught me a great deal, improving my defensive qualities as a right-back."