Sylla will make his Killie debut against Hibernian in the SPL on Monday night after ending his spell at Leicester last week.
He said: "When I signed for Leicester there was some feeling, the feeling that I want to go there. When I came to Kilmarnock I got the same feeling.
"I was delighted, my girlfriend is from Glasgow and my wee boy is three now and he is always coming up to see his gran. He is happy he is here.
"I know the manager, I think Kilmarnock is a good club."
Manager Craig Levein signed the Guinea international for the Foxes in 2005 but left the Championship side a year ago.
Sylla found himself down the pecking order under new boss Rob Kelly, making just three league starts this season.
He said: "When Craig Levein left, I was at the African Cup of Nations in Egypt. When I came back, he wasn't there.
"I asked the new manager right away if he wanted me. I'm not the type of guy to walk away when things aren't going well.
"One club manager wanted me and they were in the top five of the Championship.
"I asked him, 'Do you want me to go'? He said, 'No, you can help out'."
Despite attempting to leave in the summer, Sylla could not agree a deal to quit the Walkers Stadium until last week.
He said: "It wasn't depressing, I think there are some people with a harder life than me. Football is my job and I enjoy it.
"All experiences are good experiences. I met some nice people."
But on the pitch he did not take to the second tier of English football.
"When I was playing for Celtic against Premiership sides, it was much easier," he said. "When I was playing at Leicester against Premiership sides, it was much easier. The Championship is completely different football.
"It's not more physical because the Premiership is physical, the SPL is physical.
"But you attempt to play, to build up, to think. The Championship is different."
The versatile 29-year-old has played in defence, midfield and attack throughout his career and, although he prefers an attacking role, he is happy to let Killie boss Jim Jefferies choose his position.
He said: "The manager asked me and I said to the gaffer, 'Play me where you want'. I think the most important thing is to take three points.
"I'm exactly the same as everyone else in the dressing room. I'm here to enjoy my football and to help."