"English players are probably afraid to come abroad, they're in a comfort zone in England," the 33-year-old told reporters at his first news conference in Rome on Tuesday.
"This is a chance for me to try a different language, culture and way of living."
Cole, who retired from international duty after Roy Hodgson did not include him in England's main 23-man World Cup squad, said he had a good relationship with Chelsea boss Jose Mourinho but it was clear the Portuguese did not see him as an integral part of the team anymore.
"As soon as I spoke to (Rudi) Garcia (Roma manager) and I saw how much they wanted me here at Roma I jumped at the chance," Cole said.
"I've always had a good relationship with Jose Mourinho but I was no longer useful to his project at Chelsea.
"I came here to play in the Champions League. Roma is an ambitious club, it's a challenge for me and I'm prepared to fight for my place."
(Reporting by Josh Reich, editing by Pritha Sarkar)
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