The Colombia international scored twice as Milan beat Palermo on Saturday, and is extremely happy following his €30m (£21.8m) move to Italy from La Liga side Sevilla during the summer.
"I'm happy for the win and with my goals," he told reporters. "But I'm happy above all for the team, Weah and Inzaghi made history at this club and I want to leave my mark here as well.
"All of the goals I have scored are important to me, but if I had to choose my favourite then maybe the header.
"I'm really happy to be playing for such a great club. I chose to sign for Milan because of the club's history and everything they have achieved in football. I'm training hard to make sure that I am up to the level to wear this prestigious shirt."
Bacca has now scored three goals in his opening five appearances for AC Milan.