The Argentina international eventually moved away from the Santiago Bernabeu in July this year, having been at the Spanish club since December 2006.
Higuain has confirmed he considered an exit during the 2011-12 season, but decided to stay after winning La Liga under Jose Mourinho's management.
"The day we won the league in 2011-12, there was a change in my mind," he told Cadena Cope.
"The stadium sang for me to stay and in the end I continued for another season."
Higuain has scored six times in 12 appearances for Napoli, helping Rafa Benitez's side to second in Serie A.
He credits club president Aurelio De Laurentiis with playing a key role in encouraging him to join, and has a desire to repay Napoli fans for their warm welcome.
"President Aurelio De Laurentiis convinced me very quickly," he continued.
"I am grateful for the seven years in Madrid, but in Napoli I have an affection that every player needs.
"Everything is better when you have the absolute confidence of your teammates, the directors and the club. I am very happy here.
"In Madrid I had many years at a high level, but I constantly had to prove something that I had already demonstrated.
"I needed a change of scenery and new challenges, a chance to look for new things in my life. It is an important challenge – I want to take Napoli to the top."
