The forward initially had plans to return to his native Spain after making it clear that his future lied away from Newcastle towards the end of last season.
However, Perez instead ended up remaining in England, signing for Brendan Rodgers' Leicester in a £30m deal.
He told ABC: "It is true that Valencia were interested in me.
"And I was tempted to consider a move back to Spain.
"I miss the food, the weather and the lifestyle in Spain, and of course I would like to return in the future.
"However Leicester offered me an ambitious project, where I would play an important role.
"The move has been excellent for me, as I am playing in an attacking team and we are doing well."