The former Palermo striker was presented to Azzurri fans at the San Paulo on Tuesday evening.
"I felt very happy at the San Paolo yesterday," said Cavani. "Something like that has never happened to me before.
"I was very happy with the reception I received and I will work a lot to try and repay this great affection."
Cavani also paid tribute to his new team-mate Ezequiel Lavezzi who offered to give him the No 7 shirt.
"Lavezzi's gesture was very beautiful. On my arrival he said that if the No 7 shirt made me happy, he would have no problems in giving it to me.
"I would like to thank El Pocho again."