In one of the most bizzare reasons for leaving a club, Shevchenko confirmed he wants to leave Italy so his children can learn English.
He said at a press conference in Italy:" My wish is that the club can evaluate my transfer," added the Ukraine international.
"Of course I am saddened because I have seen the looks on the faces of the fans and because of the many messages I have received.
"My wife has nothing to do with this. We decided together for the best interests of our family.
"I don't speak English, my wife does not speak Ukrainian - the only language we have in common at the moment is Italian.
"The only way to be able to teach our children our love that we have for them is the English language."
A disappointed Milan vice president Adriano Galliani said: "This is certainly the most painful divorce since I have been at Milan. We will begin negotiations with Chelsea and it will not be easy.
"It's a victory of the English language over the Italian language.
"I've tried to convince him to stay - even one minute prior to the press conference.