The striker, 31, left the Blues after scoring in her final game on Sunday but is yet to confirm her next club.
She said she had an option to stay as well as offers from other WSL sides but wanted to “do something different”.
“I’m sad and a little bit scared but I’m excited,” Aluko told BBC Sport
She added that there was “never really a discussion” about a new contract at Chelsea as she considered whether she was able to deal with “playing a lesser role” in the future.
“I could’ve stayed – Chelsea is my home, but I’ve still got a lot to give,” she said.
“I’m in the last phase of my career and if I didn’t do it this season, I’m not sure when it would’ve happened – that drive to do something new would’ve just fizzled out.
“I want to go out on a high, still playing good football; I don’t want to be old and still trying to hang on.”
Aluko, who held talks with Paris St-Germain and one other overseas club in January, said “everything has been agreed” with her new club but that she is not in a position to announce it yet.
She added she was determined to “keep winning trophies, keep scoring important goals” and was targeting success in the Champions League, after Chelsea’s semi-final exit in this year’s competition.
“This season when I’ve played, I’ve scored and felt good about my performance so I still want to be at the cutting edge but now it’s also about a different experience, it’s about playing in Europe, learning a new language, being out of my comfort zone,” she said.
‘Not my call if England career is over’
Aluko has scored 33 goals in 102 England appearances but has not played for her country since 2016.
She was involved in a discrimination case against former England manager Mark Sampson last year, with the Football Association apologising in October for racially discriminatory remarks made by Sampson to Aluko in 2014.
Sampson was sacked in September for “inappropriate and unacceptable” behaviour with female players in a previous role, and former Manchester United and Everton defender Phil Neville was appointed in January.
“It’s not my decision whether the ship has sailed on my England career,” Aluko said.
“Phil Neville has been very open about saying if any player is performing, they will get selected and there are currently a few top England players playing abroad like Toni Duggan, Lucy Bronze, Jodie Taylor – so I don’t think moving abroad would be a negative for any potential England recall.
“I’m very happy with my England career to date both on and off the pitch and if I get a recall, amazing, if I don’t then I’ll continue to support his project and the England team.
“I spoke to him briefly earlier on in the season and congratulated him on his appointment – he knows who I am, so if he wants to speak to me or watch my games then I’m sure he’ll get in contact.”
‘Hayes is a visionary’
Aluko scored 47 goals in 101 league appearances over two spells at Chelsea, having played for the Blues between 2007 and 2009 before rejoining in 2012.
She said it was “fate” to score her side’s 100th goal of the season in all competitions in her final game – a 3-2 victory over Liverpool – as she departs after winning the league and FA Cup double, a feat she also achieved in 2015.
“It’s been an amazing year filled with really memorable things to hold on to for the rest of my career,” she said.
She added “a lot” of her success was down to Chelsea manager Emma Hayes, who recruited Aluko from Birmingham City.
“We were terrible in 2013 but everything she said at that time on and off the pitch about getting better facilities, better players, more integration and respect within the club, trophies – it’s all come true,” she said.
“Emma has been a friend, a psychologist and a mentor to me. Even this season where I’ve been frustrated sometimes at not playing, we’ve had really understanding conversations. When I told her I was thinking of moving on, she completely understood.”
As a result, Aluko did not consider moving to another English side despite offers from “competitive” teams.
She said: “Staying in the WSL would’ve been a good decision because it’s a great league but it wouldn’t have been something that really excited me.”