The Serbia international, who joined Lazio from Genk in 2015, emerged as a target for both Man United and bitter rivals City during the January transfer window.
Jose Mourinho is keen to bolster his options in midfield this summer, with Michael Carrick joining the clubs coaching staff and Marouane Fellaini set to leave, and is reportedly an admirer of Milinkovic-Savic.
The 23-year-olds agent confirmed earlier in the year that there was substantial interest in his client from the Premier League, but Milinkovic-Savic says he is concentrating on his performances for Lazio.
Speaking to Serbian outlet Sportski zurnal, he said: Everyone is telling their own version, but Im not thinking about my future at all.
I was thinking about how to get back on the pitch as soon as possible. Now that I have recovered I can concentrate on what is important: my performance and results with Lazio.
The current situation makes me realise that I do not have to think about other options. I am concentrating on my current club and our goal of qualifying for the Champions League.
Milinkovic-Savic played the full 90 minutes as Lazio beat Udinese 2-1 on Sunday to remain third in Serie A.
Last month, his outspoken agent, Mateja Kezman, claimed he could develop into the most complete player in the world and was ahead of Paul Pogba.
When Sergej came to Italy, he was compared with Pogba, because at that moment it was probably the easiest comparison to make in terms of characteristics, he told Mozzart Sport.
I do really respect Pogba, lets be clear, and other players who can run and work for the team, but I think now Sergej has different and better qualities than Pogba.
Over the last six months, he has made enormous progress at Lazio. If he retains his health, he can become the most complete player on the planet.