The Portuguese joined Swansea just four days after leaving Wednesday in December. He spent two-and-a-half years with the Owls and managed to reach last season's play-off semi-finals.
"I'm [returning] home, and it will be a home forever, I'm absolutely sure," he said.
"We were there for two-and-a-half years and, after the second season where we achieved the play-off semi-finals, we had the third best winning points in 150 years of history at the club.
"In the last 50 years, we had the best rating at the club - we achieved one play-off final, one semi-final and the moments we lived at that club was unbelievable.
"[I had] very strong and emotional moments that make me think I belong to the club and I will be part of Sheffield Wednesday forever.
"I am very happy to go back to Hillsborough because I'm feeling like I'm going back home because I left just two months ago."