Ukraine striker Andriy Shevchenko thanked Chelsea fans for their support on Monday before undergoing a medical at AC Milan.
The 31-year-old suffered form and fitness problems in a difficult two-year spell at the English Premier League club but was overjoyed to return to the San Siro, where the 2004 European player of the year spent seven successful seasons.
"I am really happy to be here. In this really special moment for me, I also want to say goodbye to the Chelsea fans who have always supported me in the last two years," he told Milan's website. "I truly thank them for this."
A throng of Milan fans welcomed Shevchenko at the airport on Sunday and when he arrived at the training ground on Monday.
Both clubs have kept details of the move confidential.
Chelsea had wanted a permanent transfer while Milan were only interested in a loan. Media reports have speculated that the deal is a loan but with Milan paying all Shevchenko's wages.
Shevchenko is likely to play as a sole front man for Milan with Brazil's Kaka and Ronaldinho operating just behind.
The Rossoneri, a disappointing fifth last season, start the new Serie A campaign at home to Bologna on Sunday.
Italian media reports have said Milan are also close to a loan deal for Arsenal's Swiss defender Philippe Senderos.