The 39-year-old called time on his playing career at the end of last season, having given more than 10 years service to the Rossoneri.
He revealed that La Liga outfit Granada were keen to land his signature, but he chose instead to remain on the coaching staff at the San Siro.
Inzaghi, who also played 57 times for Italy, said that he still misses playing for Milan.
"I still miss San Siro," Inzaghi told El Pais. "I knew it would be tough, but only when you stop and look back do you realise what you've done.
"People still stop me on the street and thank me for what I did at the club, and for that I am grateful. But I am living this new adventure now.
"I had some offers, including one from Granada, whose President came to meet me. But this opportunity at Milan was too big. Milan is Milan."