Players such as Andrea Pirlo and Clarence Seedorf made the move to the Rossoneri, but Stankovic has insisted he will not follow in the footsteps of the duo.
"I've made my choices, until now they've always been the right ones. And I can tell you that I would never be able to join Milan. It's impossible, unimaginable," Stankovic told the club's official website.
"I always want to show how much I love this shirt, you have to show you deserve to wear it. It's a weight on your shoulders but I do all in my power to honour it."
Stankovic also discussed the differences between current trainer Claudio Ranieri and former coach Jose Mourinho, and stressed neither is better than the other.
"Everyone is different from everyone else," he said. Everyone has qualities and defects.
"Mourinho and Ranieri are different, of course, but one isn't better or worse than the other. And as players we always try to get the best from each of them; the best is what we need."
Ranieri's men resume Serie A action this Saturday at home versus Parma after a brief winter break.
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