According to the defender, he left Amakhosi after a month because they couldn't decide quick enough if they wanted him.
"I'm at Sundowns now," Nene told KickOff.com.
"My 30 days with Chiefs is finished, I'm a Sundowns player now. I'm with MDC [the reserve team] and it's a good contract.
"I had to go to people who really wanted me rather than to stay with people who were not saying anything.
"I want to be playing in the first team before this season ends.
"At home they are very happy as long as I have a contract. It's a decision I took together with my agent."
Nene's agent Mirko Agnelli confirmed his client has started training with the Brazilians.
Asked for comment, Chiefs spokesman Vina Maphosa said: "He was supposed to stay with us for October. No, there's no issue there.
"He left after the end of training with us. It was scheduled until the end of the month of October."
The Keyona draft in September paired the 22-year-old from Sobantu in Pietermaritzburg up with the Glamour Boys.