The Blues announced the signing of Ba on a three-and-half-year contract on Friday morning after activating the £7million release clause in his Magpies contract, the value of which had controversially become public ahead of the transfer window.
It is the second time Ba has exploited such a clause since moving to English football, having been allowed to leave West Ham following their 2011 Barclays Premier League relegation.
But he had no regrets about his career path, revealing he had said to himself, "Yes I've done it", after being given permission to join Chelsea.
The Senegal star told the club's official website, chelseafc.com: "This club is at another level - it isn't West Ham or Newcastle.
"It will be easier with world-class players around, who make the football look so easy."
He added: "Yesterday, I was looking back and smiling to myself, saying, 'Yes, I've done it'.
"I feel very proud, not only for me but the people who supported me over the years - my agent for instance who has been there since I was 15, my mum as well because when I skipped school she was afraid but today I am very proud for my family.
"I never lost belief in my football though, never. You keep working and things come. Rewards always come."
Ba insisted his move early in the window had given Newcastle plenty of time to recruit a replacement.
"It was important for me, and for Newcastle, to get my future sorted and now we can move on," he said. "Now they have the whole month to buy someone and, for me as well, the sooner the better. Now I am here I just need to get settled in.
"When the club who won the Champions League wants you, the decision-making is very easy. This club is massive and that's something that helped the decision a lot. It was not a hard one."