Lillis, who joined last week on a seven-day emergency loan, insists it was not a difficult decision to take the step down from the Championship club.
He told BBC Radio Manchester: "When I was asked to come to Rochdale I thought 'top of the league, that's where you want to be in any league'.
"They're a good team, one of the top teams in the division. I played at Notts County last year and played against Rochdale and we got beaten 3-0.
"So I was impressed with them then and I can remember playing against them in the Johnstone's Paint Trophy, and I was impressed with them then as well."