The 32-year-old is on loan at AC Milan from Chelsea but has failed to make an impact in the Serie A this season.
“The truth is that I may not be given the chance to stay at Milan,” Shevchenko told La Gazzetta dello Sport.
“I know that it has been a difficult season, but I would love to stay put.
“I will keep trying as hard as I can to prove that I can still do good things for this club.
“At least I am getting a chance to play some games now and that makes everything easier.
“It has been disappointing not to get more playing time, but that’s just the way it is at a club like Milan,” he concluded.