The European champions announced this week that they want to sign the Gunners skipper.
He said: “As I have said many times, at the moment I am an Arsenal player.
“But everyone knows that a lot of stuff has happened at the club recently that wasn’t supposed to happen.
“In terms of the departure of Mr Dein, the bosses have been unsettled and a lot of players at the club have been unsettled.
“So the only thing I can tell you is right now I am an Arsenal player but I cannot deny it’s nice to hear about Milan.”