The Lazio legend left Bologna for Paris FC and Ligue 1 in the final days of the winter market.
Immobile featured in the Coupe de France defeat to Lorient this week and spoke to local reporters afterwards about his arrival.
The veteran striker, 35, told Le Parisien: "I feel good, but I'm lacking match rhythm.
"But I'm really happy to be here: I've found a team that's willing to work and grow quickly. I want to lend a hand, help the group score more goals.
"I've only had one training session with the rest of the team, but we already have an important match ahead of us on Sunday in Auxerre. I felt good on the pitch, even though I felt I lacked rhythm because I didn't play much in Bologna."
Immobile added: "It'll be a close battle until the end of the season. I'm also looking for a house in Paris to live here with my family. It's one of the most beautiful cities in the world, I'm sure we'll have a great time."