The 26-year-old was heavily tipped to join Juventus in 2010 after becoming highly sought-after at Wolfsburg, but eventually joined Roberto Mancini's side midway through the 2010-11 campaign.
However, rumours over a move to Serie A have arisen again in recent weeks - this time Massimiliano Allegri's side being the club in question following Zlatan Ibrahimovic's departure to Paris Saint-Germain.
When Goal.com asked if the Rossoneri were still his favorite club, the Bosnian said tellingly: "I have been following what has happened in Italy and I know that AC Milan have sold two of their best players.
"I would also like to play, of course, in Italy at some point."
Nevertheless, despite his frustrations at a lack of playing time with the English champions, Dzeko is eyeing more silverware this season, and claims that the team's main objective must be to defend their Premier League crown.
"If we are all fit and all the European returnees are fit, we have to attack," he added.
"Last year we won the FA Cup, the title this year. Next year we are represented in many competitions. The main objective is to defend our crown."