The Spanish full-back penned a one-year deal with the Hammers on deadline day, having left Real Madrid when his contract expired at the end of June.
He was asked about interest in him from Milan on Cadena COPE and replied: “There were quite advanced talks, [but] everything became complicated with the arrival of the [new] Chinese [owners at Milan] and I preferred something else."
He signed for West Ham two full months after ending his seven-year spell at Real Madrid and admits choosing a new club was a difficult decision.
He added: “I took a long time to make a decision because I wanted to be convinced. When you leave Real Madrid it is very difficult, it is difficult to choose, it's like leaving heaven and finding a destination on earth. But the club, the city and the coach convinced me. I had various offers from Spain, but over there I could only wear the shirt of Real Madrid."