The 25-year-old scored 4 goals in 15 league games (6 sub appearances) for Lazio but the Rome outfit have turned down the opportunity to take the former Reggina striker on a permanent deal.
"The fact Lazio chose not to sign me was the club's choice to make," he said. "I waited until the end for the Biancocelesti because it was an extraordinary honour for me to wear their number 9 shirt.
"In January I chose Lazio for lots of reasons, but the main one was the chance to make the deal permanent in June.
"I wasn't given any explanation for not being signed because I haven't spoken to anyone after the season. I feel embarrassed and gutted because I hoped to be in the squad for next season.
"I just hope that I can leave amicably and maybe have the chance to wear this shirt again in the future."
Bianchi will therefore come back to City and is hoping to show Hughes he is worth another go at Eastlands.
"Now I will return to Manchester City where I have great desire to prove myself," he added.