The newly-promoted Premier League side paid £8m to bring the striker to the King Power Stadium in July.
The 28-year-old told Sky Sports News: "I wanted to play in the Premier League. I spoke with Brighton and said that I wanted to leave, that it was a good chance for my career.
"It was a weird situation coming from a second division team, so much money was paid. It wasn't that I was transferred from a Premier League team to another, but in England it's like that, different than any other place in the world.
"If there is a player that is having a good performance, the clubs don't care how much they spend. They just buy the transfer. I couldn't believe it when I was told as it was a lot of money."
Ulloa has scored twice in the Premier League so far this season.