Dunn completed an estimated £5.5 million transfer to Birmingham at the end of last week after six years at Ewood Park.
"I was a big Blackburn fan and as a family we’ve been going down to Ewood Park since I was about nine or ten," he told the Birmingham official website.
"Obviously it's very hard to leave a club that you’ve supported all your life.
"But the reason that I’ve come to Birmingham is that I think Steve Bruce is one of the best young managers in the country and that Birmingham as a club is a sleeping giant."