The Paraguay striker was unveiled at Ewood Park on Tuesday following his £3.3million move from the Bundesliga giants and he has no regrets about making the move from Germany to England.
"This is a new beginning and I want to play and show everyone the real me," said the 25-year-old, who has signed a four-year deal.
"I did not do that any more at Bayern. I will not miss anything. I am happy now at Blackburn. This is the place to be for me."
About 200 supporters turned out to welcome Santa Cruz after he had completed his first training session with the club.
He was pleasantly surprised by the reception at the stadium.
Santa Cruz said: "It is nice for people to come here and make me feel at home.
"I already feel very comfortable because Blackburn from the start always made me feel wanted.
"I was always looking at the possibility of coming to the Premier League. The main reason I have come to this club is because of the interest they showed in me.
"It did not feel like my first training session as I was made to feel so welcome."
Santa Cruz faces a fight to get into the side with Benni McCarthy, Jason Roberts, Matt Derbyshire and Maceo Rigters all vying for places.
But it is a challenge he is relishing.
Santa Cruz said: "Of course it will be difficult to break into the team but I am here to work.
"Perhaps it is easier for Latin America players to go somewhere like Spain.
"But I am looking for a different challenge and England suits me. It is a physical type of game."
Santa Cruz is likely to skip the friendly against Huddersfield on Wednesday night and face Preston on Saturday instead.
He has already made an impression on manager Mark Hughes.
"Even in his first training session he showed great qualities," said the Blackburn boss.
"Roque has great physical presence and good awareness of the other players around him.
"He is a player who may want to prove a point to some people. I am convinced he will do as he has all the attributes of a top centre forward."
Chairman John Williams believes Santa Cruz represents great value for money.
"We are trying to improve the squad in the right financial parameters. That is difficult in a market that is frankly over-heated," he said.
"Every time Santa Cruz's name came up, it got the manager's juices running.
"It is no surprise he is here today and I am very excited like everyone else at the club at what lies ahead."