The 34-year-old left the Rossoneri after a 13-year spell with the Serie A giants which saw him pick up two Champions League winners' medal among numerous honours.
However, he had been deemed surplus to requirements following a disappointing end to the season which saw Milan surrender their Serie A crown to rivals Juventus.
And the Swiss Super League side were quick to move for the former World Cup winner in a deal Gattuso denied was motivated by money.
"It's not a question of money. One of the reasons why I chose FC Sion is because that it's close to home," he told reporters on Friday.
"I've come here to FC Sion to win and to compete with FC Basel for the title. Sion's president has promised that we will have a competitive squad, and so far it seems like it."
Following the arrival of Gattuso, sporting director Marco Degennaro also spoke of the possibility of adding Alessandro Del Piero to the club's ranks following his departure from Juventus.
The 37-year-old brought his 19-year spell with the Turin giants to end this summer and while Degennaro is keen to bring in Del Piero, he insisted he is delighted to have secured the capture of Gattuso
"The new Sion will be built around him. Gattuso got on immediately well with the president," he told Radio Mana Mana.
"[Alessandro] Del Piero to Sion? It would be beautiful but we have to keep both feet on the ground."
