Shevchenko revealed he has plans to enter coaching.
"It is always a marvellous sensation to be here," Sheva told Milan Channel.
"Milan feels like my home. Milanello hasn't changed much and it's great to be back among friends.
"I am taking a course to become a Coach and studying a little here too. I spoke to Coach Massimiliano Allegri, a chat that will serve me very well in future.
"I often speak to my former teammates, such as Ricky Kaka, Pippo Inzaghi and Rino Gattuso. Many of us are retiring, so we're starting new lives."
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