Cole will get the chance to play UEFA Champions League football with the Ligue 1 club this season and is looking forward to a change of scenery.
"I wanted a challenge from abroad," he said. "Lille is a beautiful club, a family club that plays well.
"I like intelligence in football. It will be an interesting experience for me.
"I think I'm going in the right direction. I'm here to help Lille by bringing my experience and the quality to win many trophies."
Aston Villa had made a late bid to take Cole to the midlands but it was always going to be difficult as Liverpool had the option to loan him to a club who were not a Barclays Premier League rival, which was preferable.
Alex McLeish had been looking to add more creativity to his midfield but with little money at his disposal how Villa would have afforded the significant contribution to Cole's wages was open to question.