Milan rejected an approach from Sassuolo last month for Inzaghi.
"(Adriano) Galliani has never wanted to get rid of me. The offer was important, Milan didn't want me to go and I did not even think about it, I would be sorry to leave my boys.
"Milan is my home. I want to finish my second adventure and then we shall see. The relationship with Galliani is amazing as always.
"Why did I decide to become a Coach? I wanted to play again, then Milan made me this offer.
"I decided to retire, it was difficult, but I made the right choice, beginning this adventure that is giving me great satisfaction."