"Serie A is one of the best Leagues in the world, so I'm eager to discover it and test myself against Europe's top defences," he told L'Equipe.
"We will have a super squad at Lazio and this new experience is a great challenge for me. I'll be taking on some stronger defences than I am accustomed to, so I'm curious to see how I do."
Cissè was a mainstay of the France side, but has fallen out of favour despite a strong scoring record at Panathinaikos.
"I had two excellent campaigns in Greece, but evidently that was not enough. I know how good I am and what I want.