The 27-year-old now seems keen to return to Europe and is taken with the idea of playing in Italy's top flight.
When asked if he knew of any interested teams, he told passioneinter.com: "Yes, I've spoken to two Milan clubs in these [last few] weeks.
"I can't go into details, but, yes, one thing I can say: I want to play in Italy."
Oscar won two Premier Leagues, the EFL Cup and the Europa League during a five-year stint with Chelsea.
Oscar has scored six goals in 18 CSL appearances this year, with Shanghai SIPG third in the table, two points behind leaders Guangzhou Evergrande.
His time at Stamford Bridge was largely successful, scoring 38 goals in 203 games and winning the bulk of his senior international caps during his time at Stamford Bridge. He also twice won the club's Goal of the Season award, for strikes against Juventus and Queens Park Rangers.
While he boasts an impressive record of 12 goals in 47 games from midfield for Brazil, he hasn't played for his country since 2015 as his Chelsea career fizzled out and he made the step down to China.
At 27, he should be around his peak as a player, so it would certainly be interesting to see if he could recapture some of his early-career form upon any return to European football.
For the time being, the two Milan clubs will be keeping a close eye on the soon-to-be-released fixture list for the 2019-20 Serie A season.
The fixtures are due to be revealed on July 29, with both sides still having some pre-season fixtures to look forward to in the meantime.