The forward has joined the Spanish club on a three-year deal for a fee in the region of £8m.
The move comes just a year after the 30-year-old joined Manchester City from Celta Vigo for £13.8m.
During his time in England, Nolito bagged six goals and he impressed when given the opportunity to shine.
However, he has now revealed he had to move on from Manchester as he wanted a new challenge.
"There are a lot of differences, in Manchester it was raining last week," joked Nolito at his official unveiling in Spain.