Reports in recent weeks, have been linking Shevchenko with a return to Milan.
Shevchenko said: “I speak with president Berlusconi often.
“For me, it was extremely difficult to tell the president that I wanted to leave.
“I’ll never forget Milan. For me, it was a very important experience and one which has allowed me to become the player I am.
“But I made my choice, I arrived in England and now I want to continue on this path.”