Cutrone has impressed for Wolves in the opening weeks of the English season.
And he told Sky Italia: "It is great to play in these stadiums for these fans. There is a beautiful climate that makes you feel at home. I've been here for just three weeks, everything is new to me and I have to settle in.
"I have already played the Europa League with Milan, so I was more excited for the premiere at home in the Premier League.
"Thanks to Milan for what I am and I will always be a fan of them, but in football I have to make choices.
"Goals? Do the best possible. On a personal level it is to help the team with goals and assists."