Antonio told SkySports News that he is happy at the City Ground but looking forward to testing himself in the Premier League.
A summer signing for Forest a year ago from Sheffield Wednesday, Antonio was a prolific goalscorer from the wing, and he explained he had mixed feelings about his transfer.
He said: "I'm definitely sad to leave Nottingham Forest.
"I had a good year there, I enjoyed my time and the fans. I hope they do well."
Antonio added: "I'm buzzing to get started.... There's competition from players like Victor Moses, hopefully I can learn and push on."
The winger's form was always going to make it difficult for Forest to hold onto him, and he had been left out of the Forest team over the past fortnight, with manager Dougie Freedman feeling he was not sufficiently focused to play.
Forest are 16th in the Championship with five points from five games and their ambition has been held back by a transfer embargo placed on them by the Football League.
Antonio's message of good luck will come as scant consolation to fans who have seen a dynamic impact player depart when he had a lot more to give.