The 22-year-old completed his move to the San Siro on deadline day and has revealed that he is "happy" to have left England.
The Italian striker praised the City fans for their continued support, but also spoke of "bad things" that made his stay a troubled one, including the press.
"I have to say thanks to all the City fans because they've been very nice to me and they always supported me in the good and in the bad moments," said Balotelli.
"And I have to thank my teammates, and the manager. Everything else, I'm happy that I left England.
"Good things - only when I get to Carrington to train. So my teammates and manager. And the bad things? Everything else. The press, first. The weather. The food. The way you drive. That's it."
Balotelli made a total of 80 appearances for the Blues, scoring 30 goals.