The 27-year-old has insisted there is no truth in the rumours that linked him with the San Siro side, but voiced his respect for the Rossoneri
The Brazil international was being with a switch to San Siro earlier this year, but the 27-year-old dismissed claims that he was considering leaving the capital club.
"There have been a lot of rumours, but I never spoke with Milan. I was at no point close to joining them," he told Sky Sport Italia.
"I am very happy with life at Lazio. I have always said that I enjoy life here in Rome."
The attacking midfielder then discussed this weekend's Serie A clash versus the Rossoneri, and insisted that Lazio are not the favourites.
"Are we the team to beat? Let's not fool ourselves. Milan are still Milan. They have some great players."
Saturday's match at the Stadio Olimpico kicks off at 20:45CET.