The Uruguay striker was held up at gun point earlier this week.
Speaking to Palermo's official website, he said: "They were terrible moments. The incident happened around 6:00pm shortly after training when I was alone in my car driving home.
"It was a really awful day. Luckily my parents now live in Palermo and they were able to cheer me up. There presence has really been fundamental in the last few hours.
"I would like to once again thank the club for comforting me.
"I am happy in Palermo. I have never had any problems with the city. This is only an unfortunate episode. The people have already expressed their solidarity with me and I would like to thank them again for the affection that they have shown.
"Right now I only want to get back on the pitch and think about the match against Bologna which is fundamental for our season.
"I am not thinking about leaving like some people have said. I only want to leave this story behind me."