The Italy international agreed a five-year deal at Signal Iduna Park in June after topping the Serie A scoring charts last season with Torino.
Immobile, who was previously co-owned by Juventus and Torino, does not regret the move, even though Jurgen Klopp's men have won just two out of seven Bundesliga matches this term.
"Borussia Dortmund was the best solution for me," Immobile told the Corriere dello Sport.
"I wanted to have an experience abroad and in the Champions League. Then there are the fans - it was said they always supported the team, but I didn't think like this.
"I will always be grateful to Juventus because they brought me through and let me go when we had different needs.
"Theoretically in Germany there is more space because it is less tactical, but for us things have not gone so well. We have many injured players and it is not easy to do without a lot of champions."
Immobile has only scored once in the league since his move to Germany, the equalising goal in Dortmund's 2-2 draw with Stuttgart last month.
