The 32-year-old has struggled to break into Rafael Benitez's team, and while he says that it was a tough choice to move away from Naples, he is delighted with the chance to prove himself at the Serie A strugglers.
"Napoli will always be in my heart," he told Radio Kiss Kiss. "It's going to be hard to deal with that when I'm at Sassuolo.
"But I want to thank the Neroverdi for this opportunity."
Sassuolo are currently 18th in the Serie A table.