The striker was subject of strong interest from the Hammers and AC Milan reportedly accepted a bid of over £20m from them.
However, after holding talks with West Ham, the Colombian opted to stay in the San Siro for another season.
And, reflecting on his decision, Bacca believes he made the right call in deciding to remain with AC Milan.
"I was quiet in the summer even though I could have gone away to raise money for the club", Bacca told Corriere della Sera.
"West Ham insisted, but I chose to stay here and thank God, it was the best decision.