The former Italy star is being investigated for match-fixing but says he is determined to prove his innocence, insisting he has never gambled in his life
It was announced on Tuesday that the 2006 World Cup winner was being investigated, along with another ex-Rossoneri star Cristian Brocchi.
However, the former Palermo coach insists that he is innocent and has spoken of how angry the allegations that made him.
"I'm angry and offended. I'm calm and I'm going to clarify everything," he told Mediaset.
"I do not want to have these marks on my career. I have never gambled in my life."
Former Napoli and Sampdoria striker Claudio Bellucci and ex-Palermo and Roma midfielder Davide Bombardini are also part of the investigation.
Gattuso spent 13 years at Milan, winning two Champions Leagues and two Serie A titles during his time at San Siro.