Chelsea have been keen to bolster their frontline, especially while Alvaro Morata continues to misfire, but the 30-year-old Higuain does not fit their current profile of signing.
"I have big respect for Sarri but he was the only one who wanted me at Chelsea", Higuain said.
However, it was yesterday announced that the Argentina worldwide would be leaving Juventus to join fellow Serie A side AC Milan, with the 30-year-old attacker sacrificed by the Old Lady after they splashed out £100 million on Cristiano Ronaldo.More news: Tottenham round-up: Pochettino bombshell; Bruce discusses Grealish speculation; Alderweireld desperate
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He also featured 51 times for the Rossoneri last season but has now rejoined Juventus in a swap deal that will see Gonzalo Higuain and Caldara, who himself became an Italian worldwide this year, move the other way.
"The esteem in which I hold Sarri isn't new", Higuain told reporters at a Milan press conference. Their last appearance in the Champions League was in 2013-14, when they reached the last 16, while last season Arsenal swatted them 5-1 at the same stage of the Europa League.
"I had hoped to one day have the chance to be a Juventus player".
The 22-year-old struggled for consistency following his move from Porto last year, but Milan head coach Gennaro Gattuso is hopeful the attacker can improve this term.
"All top teams aims for top players", Brazilian Leonardo said.