Davis, who had a spell on loan with the Eagles last season, finally put pen to paper on a two-year deal on deadline day, having had to wait to make a permanent move due to Palace's transfer embargo and work permit issues.
"Since I was on loan there last season, I always wanted to go there permanently," he told the Croydon Guardian.
"My agent was speaking to some people but my concentration was always on Palace as I wanted to work for Neil Warnock again.
"As soon as news of the embargo came out, I spoke to him and he said there was nothing to worry about and it would be gone before the deadline, and I believed him because I trust him.
"It's good to get it sorted though, and I can concentrate on playing football now."