The fee demanded by Les Parisens was believed to be €7 million [£5.7m] which was outside what the Rossoneri were willing to pay.
It's been a summer of transition for Milan but the former Espanyol player was not one of the players to make it to the Giuseppe Meazza as PSG's sporting director said their bid was not high enough.
“Leonardo told me that it was not possible because of the amount that PSG asked for me," Nene told L'Equipe.
The 31-year-old however, believes a move away in the near future could happen.
“In January, leaving PSG is a possibility," he added.
"I think I can still play in Europe for another three years at a high level.”
Milan also enquired about defender Mapou Yanga-Mbiwa according to Montpellier president Laurent Nicollin who told French radio station RMC that Milan tried to sign the 23-year-old at the end of the transfer window but were unsuccessful.
Nicollin said: “There was a desire for Mbiwa to stay and renew with us, then came Milan and that had created a bit of confusion.”