The French centre-back was linked with a move out of San Siro in the summer, but nothing concrete materialised.
"The important thing for me is to be here at Milan," said Mexes on Thursday. "It wasn't the happiest of summers, even though the birth of my daughter brought some smiles to my face.
"It wasn't easy being here training twice a day and hearing all the [transfer] market rumours. I never asked to leave the club. Now I'm back and I want to show the fans that I'm here to stay.
"I never thought about leaving Milan. My present and my future is here."
Mexes joined Milan from Roma in the summer of 2011.