Gattuso was linked with a return to Milan before taking the Rosanero job.
"When there was talk of me going to Milan, I was aware that I would not have been ready to deal with an experience that was bigger than me," he told La Repubblica.
"You can only get to certain places if you go through the steps required to help you mature and handle the big players.
"I would be a hypocrite if I said that coaching Milan was not my objective, but I have a lot of work to do before being handed that bench.
"I'm not thinking about Milan right now. The road ahead is long and there are some missing pieces before such a puzzle is completed."