The 56-year-old has been out of work since leaving Watford at the end of last season, but is among a number of names - including Carlo Ancelotti and Antonio Conte - to have been mooted as a potential successor to Vincenzo Montella at Milan.
Doubts about Montella's future persist as the Rossoneri, having invested huge money in the transfer market this year, languish in seventh place in Serie A, nine points off the Champions League qualification places and 13 points off the top.
But Andrea D'Amico, a representative of Mazzarri, insists his client has had no contact with the San Siro club.
"All the journalists' rumours that have come out so far are wide of the mark, at times [they are] fantasy," the agent told Tuttomercato.
"There is nothing concrete, there is no news. I understand the public opinion and that there are journalists who want to anticipate [a potential appointment]."