The 35-year-old confirmed reports that the Rossoneri made an offer but he instead opted to stay true to his vow to finish his career at the Stadio Friuli, putting pen to paper on an extension until 2015.
"I thank Milan boss Massimiliano Allegri and vice-president Adriano Galliani for the offer," he told the Messaggero Veneto.
"To be honest, they were not the only club to make my agent a proposal, but I've always said that I want to end my career at Udinese.
"Now everybody is happy. The club, the fans and myself."
Di Natale also revealed his ambition to play at the 2014 World Cup for Italy though he knows he will need to continue his goalscoring in the 2013-14 season to convince coach Cesare Prandelli.
"To be able to play at the Maracana, just once in my life, would be the icing on the cake for my career which has nevertheless been fantastic," he added.
"However, in order to convince Cesare Prandelli then I have to think about training well and having a great season for Udinese."