The Special One was officially unveiled at the Bernabeu on Monday just nine days after winning the treble with Inter.
"Three months ago I understood that Italian football was not for me and after two years I decided to change," he said.
"When my agent told me that Real Madrid could be an opportunity, I understood that it was perfect.
"Real Madrid are the greatest club, but now they are a little frustrated. I have come to improve a team and I like this.
"I don't like going to a club to continue a project. I prefer to build a new dream."