The 26-year-old was heavily tipped to join Juventus two years ago after becoming highly sought-after at Wolfsburg, but eventually joined Manchester City midway through the 2010-11 campaign.
However, rumours over a move to Serie A have arisen again in recent weeks - this time Massimiliano Allegri's side being the club in question following Zlatan Ibrahimovic's departure to Paris Saint-Germain.
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"I would also like to play, of course, in Italy at some point."
Nevertheless, despite his frustrations at a lack of playing time with the English champions, Dzeko is eyeing more silverware this season, and claims the team's main objective must be to defend their Premier League crown.
"If we are all fit and all the European returnees are fit, we have to attack," he added.
"Last year we won the FA Cup, the title this year. Next year we are represented in many competitions. The main objective is to defend our crown."