Liverpool were prepared to allow the defender to leave on loan for the season.
But the Croatia international did not want to have to ‘prove himself’ to another club.
He told Sportske Novosti: “I did consider a move, I knew I gave my best for Liverpool, won the Champions League and I am not the kind of player that likes to be benched and earn money for that. Yes, some people around me advised me: ‘What do you care? You are at a big club, shut up and take the money’. But I am not happy sitting on the bench.
“Milan contacted me but Roma were the most persistent. But negotiations didn’t go well. I don’t want to go somewhere and prove to someone who I am and how I play and whether I’m ready or not.”
Lovren added that he feels pleased the window has now closed and he can focus on the 2019/20 campaign.
He continued: “I feel relief after the transfer window is closed. I got tired of reading and listening every day about me leaving or staying at Liverpool. Everyone wrote ‘Dejan is here, Dejan is there’, and they knew nothing! It annoyed me, I got a headache because of it throughout the summer.
— AC Milan (@acmilan) September 13, 2019