The 30-year-old is expected to leave the south xoast club after his contract expires in the summer of 2017.
"My contract [at Southampton] expires in 18 months, one year after Euro 2016," Pelle said ahead of his country's friendly with Romania.
"Italy is the most beautiful country and it is that beauty which I'm missing. Serie A lost some of its appeal, but lately it is growing again, it is visible abroad,.
"They didn't care about Italy abroad, I felt that, but thanks to Juventus in the Champions League and others in the Europa League, Italian football is back and in a few years it will be one of the best again."
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