The Belgian, who is believed to have signed a five-year deal, completed his move to Liverpool on Tuesday for a reported £9m fee.
"My agents were working on things and I was still a Sunderland player so they did not really tell me a lot," the Shields Gazette quotes Mignolet as saying.
"But once I heard they were interested in signing me, I knew I would go. I can't wait to get going now.
"It is a challenge obviously, but that is what you want. I want to play in big games, in front of a big crowd, with pressure."
Mignolet's arrival has put doubt on Pepe Reina's position at Liverpool, despite the Spaniard insisting that he is happy at the club.