The Rossoneri tried to bring back the Spaniard last month.
“There are many Coaches who have left their mark on me, but I was happiest at Milan," Deulofeu told Mundo Deportivo.
“I felt very loved there, I enjoyed my football a lot. From the first moment I arrived, I was told what they wanted from me.
“They believed in my game and I was able to help such a great and beautiful club. It's nice that clubs want me and I have special appreciation for Milan.
“I won't close the door on going back, but for now I'm focused on Watford."