The 27-year-old has recently been linked with the likes of Manchester City, Barcelona and Paris St Germain.
“I have been told that for Milan I am a fundamental part of the team and non-transferable,” he told La Gazzetta dello Sport.
“Am I tempted to play in the Premier League or La Liga? Absolutely not. I am happy at Milan and I want to stay.
“I spoke with Adriano Galliani (Milan chief executive) before I left for Hamburg, and he told me: ‘You can stay calm because you are not leaving this club’.”