Roberto Mancini suggested the Serbian was ready for the top job at San Siro, where Walter Mazzarri is under increasing pressure.
Speaking after his third-placed Serie A side drew 2-2 at home to Milan on Saturday, Mihajlovic said he was happy at Sampdoria.
"I am the coach of Sampdoria and do not think of other things," Mihajlovic told Sky Sport Italia.
"'Mancio' said that because we are friends, but I go forward along my path and I'm happy with my team."
Sampdoria came from behind to take a 2-1 lead against Milan before Jeremy Menez's 65th-minute penalty saw the visitors earn a point.
Mihajlovic said a draw was a fair result as his team moved into third, five points behind league leaders Juventus.
"It was a good game in which both teams tried everything to win. My lads gave their all and I cannot ask for more, but we met a team that has a fearsome strike force," he said.
"Milan are solid and organised, as are we, so this is another sign of how much we have grown since last season.
"When we were 2-1 up we had some chances to win it, then changed system and stopped going so deep. I think the draw was a fair result.
"I said before the season began that our objective was to stay in the top half of the table. There's a long way to go, but if we continue like this then we can achieve some great things."
