Lukaku signed in a straight loan from Chelsea on Wednesday.
"Lukaku decided to return - at Inter he felt like a king, at Chelsea he didn't," Crespo told La Gazzetta dello Sport.
"So it's a matter of love and heart. And when it comes to the heart, it almost always ends well.
"I was already in love with Milan, with Italian football, with Serie A. And then, for a footballer, Milan is really the best, there is a unique passion there.
"After the season at Chelsea, Ancelotti wanted me to be at Milan: I hurried there.
"But at the end of the season, and saddened by the loss in the Champions League final in Istanbul, I returned to Chelsea."