The former Brazil international's contract with the Rossoneri expired in the summer of 2010 and he has been looking for a club ever since.
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"I was training in Italy and trying to find a team in Europe, only I could not find any that interested me," the 38-year-old told Globoesporte. "I wanted to go to England, but could not because I'm non-EU.
"I'm living in Belo Horizonte now. I hope that I can maybe continue playing but this depends on the right proposal appearing. If it does not, I will remain by my family's side."
Dida spent a decade at Milan after joining from Corinthians in 2000 and won two Champions League titles during that time.