Since I couldn't find the solution online, I decided to share this with the world. It took me a few hours to figure it out but I found a way:
If you're working with MXF files then it should take only a few minutes (after transcoding).
If not, then it will take longer but still there's a solution, keep on reading...
Note: Make sure that the premiere sequence is indeed MXF (sometimes to save space we use a lower quality with a different format, which is easy to replace on premiere but not in Avid...)
AMA link all the files into an Avid project and transcode them.
On premiere press: File - Export - AAF
Choose "Save as legacy AAF" - press OK
On Avid - in a new bin IMPORT the timeline. It will also import the files that are on the timeline.
Relink the timeline to make sure it's the transcoded files not just the AMA linked ones. THAT'S IT!!!
This will only work if you AMA link all the files BEFORE importing the AAF.
If you have non MXF formats:
Convert the video formats (I recommend to MOV)
On premiere press: File - Export - AAF3. Choose "Save as legacy AAF" - press OK
On Avid - in a new bin IMPORT the timeline.
Do "batch import" - this will take a long time but AMA link only worked for MXF files. **It may be faster to re-create the new timeline then to do bach import**
Final note: this was done with a Premiere CC and Avid 8.3, September 2015
If you found a better solution to non MXF format, please share!