The German striker left Bayern Munich for the Biancocelesti in 2011, rejecting offers from various clubs across Europe.
"I had offers from England, Germany and Turkey," the 34-year-old told the Mundo Deportivo.
"However, at the end of the day, my family and I chose Rome and Lazio. We are a great team and I get on well with my teammates."
Klose also claimed that he came close to joining Barcelona in 2007.