But the former AC Milan midfielder is staggered by the number of coaches Sion has gone through.
Now 34, the 2006 World Cup winner joined the Swiss club on a two-year contract in June, opting for "quality of life" in the peaceful small town in the canton of Valais, surrounded by mountains, as he plays out the twilight years of his stellar career.
His friend and former Italy team-mate Alessandro Del Piero, whom Sion also approached, hesitated and instead preferred the warmer climes of Sydney, Australia.
"I've spoken to him about it," Gattuso says.
"I told him that here you've got to smile because it's not the life you led at Juventus (Del Piero's former club)," he says.
"There's something else — the passion of the fans."
The arrival of such a decorated star in the humble Swiss league led to an explosion in the sale of replica team shirts — more than 10,000 instead of the usual 800 sold for a top player.
Sion's Stade Tourbillon may not be filled with the ghosts of its legendary past like at Milan's San Siro but its name — "the whirlwind" in English — takes on a whole new meaning because of its no-nonsense president and owner Christian Constantin.
He took on the might of European football's governing body UEFA and its president, former France captain Michel Platini, by going to court in Switzerland last year in an ultimately unsuccessful challenge against exclusion from this year's Europa League.
The Swiss club had been found guilty of violating FIFA transfer regulations, also prompting a 36-point penalty which would have led to relegation from the top flight had Neuchätel Xamax not been expelled after going bankrupt.
Since saving Sion itself from the verge of bankruptcy, Constantin has been through a staggering 27 coaches.
"I've only played under 10 coaches in my entire career but in four months at Sion I've had three," says Gattuso.
"It's a bit strange."
When out-of-contract Gatusso joined Sion after 13 years at Milan, Sebastien Fournier was in charge but left on September 4th.
The second coach, Michel Decastel, was shown the door at the end of October.
Pierre-Andre Schuermann is now in charge and the club is now in third place in the league.
"There's no getting away from the fact that when you change coach three times it disrupts the players and the club," Gattuso says.
"But we can't use it as an excuse," he says.
"We've all got to assume our responsibilities.
"We've got a competitive team and we have to do more with the side we've got."
Gattuso says he holds Constantin in high regard, not just because he's been made captain.
"There are few clubs in the world where you've got a president who puts in his own money," he says.
But Gattuso, who wants to go into coaching himself one day, says he can't imagine cutting his teeth at Sion.
Constantin says that Gattuso, who played 73 times for the Azzurri, is discovering a different world at the club.
"AC Milan is a team which up until recently has practically limitless funds and one of the biggest budgets in European football," he says.
"With that you can buy the best players and there's less call for such radical measures," Constantin says.
"On the other hand when you're a club with a budget that's 15 times smaller — for us it's 20 million euros ($25.5 million) — you've got to work harder to succeed and secure a European cup place."
The fact remains, though, that no manager has stayed at Sion for more than a year under Constantin's watch.
"I've had a lot of managers here who've resigned when I've looked straight in their eyes," he says.
As for what he expects from a coach, Constantin looks to his Alpine surroundings.
"A coach increasingly has to be more of a sherpa who has to lead his group to the summit of a mountain," he says.
"If the sherpa lacks energy, he's going to be replaced by another sherpa — but the gradient and the altitude are still the same."