The ex-Three Lions manager has stressed that he has not been approached to take over the Rossoneri, but admitted that he is eager to return to club coaching
A number of recent reports suggest that the Rossoneri could part company with current trainer Massimiliano Allegri this summer if they fail to win the Serie A title, and Capello has been touted as a possible replacement.
However, the 65-year-old has made it clear that he has not been in touch with the reigning Italian champions as he continues to seek out a job opening with a club outside the peninsula.
"I've read the stories about me joining Milan, but none of it is true. I haven’t had any contact with them," Capello stated to Sky Sport.
"I have great respect for Milan and for everything I did with them, but that’s it. I was at San Siro to accompany my grandchildren. They are Milan fans and they had never been to San Siro.
"I want to be a coach for the next two years, but not for a national team. It has to be a club. I would like to work abroad as a coach. I will only work in Italy if there is an interesting project for me."
Capello previously coached Milan from 1991 until 1996, before making a quick return in the 1997-98 campaign.