West Ham tried to sign a number of strikers during the summer transfer window, before eventually signing Simone Zaza.
The Colombian international has been speaking to Spanish radio Cadena Ser (via Marca), and was asked about West Ham’s offer.
He said: “For me money isn’t everything, although some said that I went to Milan and Sevilla for money.
“The club sells each year because that’s their policy and how they work. I thought about West Ham a lot and thought about my family and adaptation.
“There were other interested clubs, but either it did not materialise or did not have free quota of non-EU players.”
Milan’s new investment may well mean Bacca can get all he wants at his current club, but things would need to change quickly. The Rossoneri are currently 15th in Serie A and looking a long way from Champions League qualification.