The Dutch star stressed he has not heard anything about the Rossoneri's reported interest in him as he looks set to spend one more season at the Bavarian giants
French newspaper L'Equipe had claimed earlier in the week that the Italian giants were preparing a €20 million (£15.6m) bid for the Netherlands international, who has been at the Allianz Arena since 2009.
But the 28-year-old attacker insists he does not know about the stories linking him with the Rossoneri, who raised over €60m (£47m) earlier in the month through the sales of Thiago Silva and Zlatan Ibrahimovic to Paris Saint-Germain.
"I have not heard anything about that," Robben told TZ.
Earlier in the summer, Robben's father ruled out the possibility of his son leaving the club, despite the criticism the player faced in the final weeks of the season.
"It is impossible for him to leave Bayern," Hans Robben said at the time. "He will play in Munich next season."