Altona play in Victoria's second tier competition and Baldacchino told Gretna's website: "I've been here for nearly five years now and I am devastated that I have to leave but I've been left with little choice.
"I did have another year on my contract and the original plan was to go out on loan to a club in Australia or America at the end of the Scottish season.
"Everything had been sorted but obviously the situation has changed now and it doesn't look good for the club.
"It's a shame the way things have happened but I have to look after my own interests and I think this a good move for me."
Baldacchino made 111 appearances for Gretna but they were limited after he suffered a serious knee injury on Christmas Eve 2005.
However, after two operations and three ill-fated comebacks, he hopes to make the most of a fresh start.
"The Victorian Premier League is a stepping stone to the A-League, which starts in August and ultimately that's where I see myself playing," he added.
"I have a few months to impress and I feel my confidence is returning now that I'm fully fit and have had a run of games, so hopefully I can continue to improve."