Aubameyang scored in the 3-0 win on Wednesday night.
He said: "It was not an easy game. They played well in the first half. Then we kept the intensity really high. We were confident.
"Definitely [enjoying himself at Chelsea]. Feeling good. I was very welcomed by all the players and staff.
"It was a bit strange to play against them [Milan] after a lot of years but that's football.
"The first goal was really important. It gave us strength and confidence to play the game. We knew what we had to do against Milan. They have great strikers as well. The defenders did an incredible job today.
"It's easier when you win games. The mood is very good at the moment. We'll try to keep it up."