The former AC Milan coach made the move to the Saudi Pro League last month.
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Speaking with Sportitalia, Pioli explained his decision to accept Al Nassr's offer: "I was very happy when Al Nassr contacted me and looked for me.
"I wanted to start a new and different experience compared to the 20 years as a coach in Italy. They convinced me because Al Nassr is an important club, with ambition. The management I spoke to made me feel confident, with a desire to grow and improve.
"The fact that Cristiano is in the team was important, I accepted willingly, with enthusiasm and a great desire to do well."