"Committed to Illinois," he told SNY.tv by text.
"Coach [John] Groce, the staff and the fans all made me feel at home," he added. "Coach Groce really put his best foot forward and my family and I felt he was sincere.
"It's a great opportunity here and it fit everything I was looking for in my new situation."
Cosby began his Illinois visit Thursday and was supposed to visit Missouri beginning today (Saturday). Instead, he pulled the trigger for the Illini.
"It was tough because I respect Coach [Frank] Haith and what he's doing at Missouri," Cosby said. "They did a great job recruiting me. But I just felt Illinois is right for me."
The 6-foot-2 Louisville native will have two years of eligibility after transferring.
In 65 career games at Seton Hall, he averaged 10.1 points 2.2 rebounds and 2.2 assists per game. Last season, Cosby made 27 starts and averaged 12.6 points per game.