Cole is excited by his new life in France.
"I'd like to leave a legacy here," he said. "The fans have taken to me straight away, and that really helps.
"They bring a Union Jack to every game, and they sing Hey Jude, which the rest of the team find hilarious.
"I'd like to win something here, I'd like them to look at me as Chris Waddle is viewed down in Marseille - they love him down there, and he's still a legend.
"Who knows what may happen, but I find it really exciting to be here in Lille and it makes me feel proud to be so well accepted and respected.
"People always ask me about going home, but I can see no reason for doing that right now.
"I'm a Liverpool man, and I have a lot of friends there still, but I'm really enjoying my time here, and I feel I fit in."