The Argentine striker was strongly related to a change of Juventus during the transfer period, since he previously worked with Sarri in Napoli.
But Higuain opted to join AC Milan, one of the giants of Serie A, in a one-season loan with the option of making a permanent deal.
Despite suggestions that Chelsea was aiming for a new striker, Sarri has chosen to use Alvaro Morata and Olivier Giroud this season.
But the Italian has revealed that he would have liked to have met with Higuain at Chelsea.
"He was the only one who loved me in Chelsea."
AC Milan forward Gonzalo Higuaín
"Higuain? It's a bit unfortunate, but in the end everyone after the market has some small regrets," he said. Sky Sports Italy.
According to reports, Higuain was in talks about a change to the Premier League giants, while Sarri was looking for reinforcements to help his work return to Chelsea in the first four.
But the 30-year-old insists that he rejected the Blues for Milan because he felt more wanted in the Italian club.
"I have great respect for Sarri, but he was the only one who loved me in Chelsea," he said.
"Here in Milan, everyone loved me.
"The motivation and conviction that they showed in Milan were fundamental."
Despite losing Higuain, Chelsea has recruited well this summer.
Sarri spent 57 million pounds to bring Jorginho from Napoli before replacing Thibaut Courtois with Kepa Arrizabalaga, breaking a goalkeeper's world record in a deal worth 72 million pounds sterling.
Mateo Kovacic also came on loan from Real Madrid, as well as veteran goalkeeper Rob Green.
Chelsea started the new Premier League campaign with a victory yesterday by comfortably defeating Huddersfield 3-0.
They will return to action next Saturday as they welcome Stamford Bridge's Arsenal.