The 36-year-old centre-back will leave the Rossoneri after a decade at San Siro, with a new adventure in MLS seemingly a strong possibility
The 36-year-old, whose contract with the Rossoneri expires in June, will bring an end to a 10-year stint at San Siro, having joined the club from Lazio in 2002.
The centre-back had been linked with a move to Juventus, but stressed that he will no longer play in Europe as he is beginning to struggle with the pace of the game.
"Italian and European football are too fast for me now," he said during a press conference. "If I do not feel important, I prefer to stay at home.
"I have won so many things, but out of respect for the club and my team-mates I have decided to try a different experience at a club in which I can do something good."
Since arriving at San Siro, Nesta has helped Milan to win two Serie A crowns and two Champions League titles, among other pieces of silverware.
"The first Champions League that I won is the best memory I have from this club," he said.
"I leave Milan disappointed because we hoped to win a Scudetto that was within our reach.
"I do not know what the future will hold for Milan because there is a group of players who will leave the club in the summer."
Questioned about his own future, the former Italy international noted that he has not yet decided his next move, but admitted that MLS is an attractive destination.
"I do not know where I will go because I have not signed anything yet," he explained.
"It would not be bad to play in MLS, but right now I do not have any other offers."