The experienced shot-stopper appears to be on his way out of San Siro after the Nerazzurri offered his services to the Sao Paulo-based club, who declined the chance to sign him
The Brazilian shot-stopper's future at San Siro has been a fervent source of conjecture in recent weeks after the Nerazzurri signed Samir Handanovic from Udinese earlier in July for a reported €11 million.
Julio Cesar has since pledged his future to the San Siro club, who he joined from Chievo in 2006, but the 32-year-old remains linked with a move away.
"He was offered to us, but we did not even begin negotiations because he would be too expensive," Frizzo told Estadao.
"And Bruno was named the best goalkeeper in the Copa do Brasil. We are doing just fine in that position.
"I spoke with coach Luiz Felipe Scolari when Julio Cesar was offered and he said he did not want the player."
It is understood that Roma are weighing up a move for Julio Cesar following Maarten Stekelenburg's unconvincing start to life at the Stadio Olimpico.