The Crystal Palace striker was close to a transfer to the Serie A club on deadline day before issues with his knee, uncovered during a medical, ended the deal.
Mateta returned to Crystal Palace and went on to spend 38 days out of action before recovering form towards the end of the season.
He scored the winning goal in the UEFA Conference League final, helping Palace lift the trophy.
Speaking to Milan News while on World Cup duty with France, Mateta was asked directly about the collapsed move.
"It was a strange period for me and in no way an easy one," he said. "There was the chance to go to Milan, but that's in the past now, and I don't know what would have happened if I'd gone to Italy."
Mateta, 28, had made clear before the January window that he wanted to leave Crystal Palace.
The club had reached a preliminary agreement with AC Milan, with a fee in the region of £30m discussed, before medical examinations raised concerns over his knee.
He ultimately avoided surgery on the injury, with specialists advising that the issue could be managed without an operation. That decision proved significant for both his return to action at Palace and his prospects of making Didier Deschamps' World Cup squad.
Despite the disrupted season, Mateta praised Crystal Palace for the role the club has played in his career.
"I have to thank Crystal Palace," he said.
He pointed specifically to the trust shown in him during periods when he was not playing regularly.
"In my early years I didn't perform consistently, because I didn't get much playing time."
He said the turning point came once he was given a sustained run in the team.
"Later, I got a lot more playing time, and that allowed me to develop and gain confidence."
Mateta's situation at Palace became more complicated following the arrival of Jorgen Strand Larsen from Wolverhampton Wanderers in a club-record £48m deal in January, the same window in which his own departure had appeared close to completion.
Returning to a side with a new club-record signing in his position would have tested any player, but Mateta worked his way back into Oliver Glasner's plans before the end of the campaign.
His first France call-up came in October at the age of 28, and his recent form has now earned him a place in Deschamps' 26-man squad for the tournament.
France begin their World Cup campaign against Senegal on Tuesday evening.
For a player who came close to leaving south London for Italy just months ago, Mateta now finds himself heading into the World Cup off the back of a trophy-winning end to the season at Selhurst Park, a outcome few would have predicted in January.