Reports in France had suggested this week that the former Arsenal boss was in negotiations with the Serie A club to replace current manager Gennaro Gattuso.
The 69-year-old has been out of work since leaving Arsenal in the summer after 22 years at the club.
Former Arsenal manager Arsene Wenger says he expects to be working again in football in the new year, but he doesn't yet know where that will be
However, while he recently said he is keen to return to football management at the start of 2019, Wenger has denied that he is set to be appointed at the San Siro.
Wenger:"I cannot master the rumours, I can only master what I do in my life. That's wrong as well."
Question:Will you return to England Premier league?
Wenger: "I said many times maybe the best way is not to be in England because I spent so much time at the same club it would seem odd to go somewhere else," he said.
Question:On January 2019 which club are you targeting to return at?
Wenger: "But at the moment I cannot tell you [about my future] because I don't know. I don't know where I will be. I will be somewhere but I don't know where."
Arsenal's former chief executive Ivan Gazidis will take up his new role at AC Milan on December 1 after spending 10 years in north London.
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Football Rumors