The 34-year-old joined Swiss side Sion in the summer after deciding to call time on his 13-year association with the Rossoneri, but despite having enjoyed an exceptional career at his former club, he has no intent on returning and hopes to soon begin working on his badges.
"A return to Milan? I certainly won’t abandon this ship,” the former Italy international told reporters. “I gave my word to Sion officials when I came here.
"I hope to begin a cycle at this club and I don’t harbour any nostalgia for home. Switzerland has, after all, a high quality of life.
"It is my objective to become a coach, but only in the future."
During his career, Gennaro Gattuso won the Champions League two times with Milan and the World Cup 2006 with Italy.