The Morocco defender signed for Bayern for a reported €26 million fee last month from Roma.
The 27-year-old was said to be the subject of widespread interest and he has now revealed that several of Europe's elite clubs were chasing his services.
Benatia also said he wanted initially to stay at Roma, but that now he had made the move, he was happy with his decision to join the German champions.
"Manchester City and Chelsea wanted me, while there were also approaches from Real Madrid and Barcelona," Benatia is quoted as saying in Kicker.
"I discussed my future with Roma sporting director Walter Sabatini.
"He told me that the club wanted to hold on to me, but that they needed the money from a sale. That annoyed me, because I initially wanted to stay put.
"But let it be clear, I was happy to join Bayern Munich. I like Munich - even if it's a bit cold here."
Benatia will face his old team-mates when Bayern visit Roma in the UEFA Champions League next month.
