Dalot was speaking ahead of their Europa League tie with Celtic.
He said, "It's fantastic to learn the tactics of the game here in Italy. Having a coach close to the player always trying to teach and explain is great. Our relationship is not just manager-players. This helps me to improve.
"It's been a great few months in terms of adaptation. Italy is similar to Portugal. The club is amazing, I'm happy to be here."
Dalot is on a straight loan at Milan this season.