The former Inter Milan coach made the change last year after leaving the Nerazzurri the previous season.
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Asked about how he has settled in Saudi Arabia, Inzaghi stated: "Earning a lot of money is nice, but I didn't need it. My years at Inter were very fulfilling, but also stressful.
"I needed to switch off. At Al Hilal, I found peace: I live well in Saudi Arabia and I don't miss Italy."
Inzaghi has been mentioned as candidate for the Italy job after Rino Gattuso's resignation last week.
He added, "National team coach? It's flattering, but I'm happy here and I still have a contract to fulfill..."