The 23-year-old had been strongly linked with a move to the San Siro, having fallen down the pecking order in North London.
But the Brazilian's agent, Gerardo Santiago, has insisted the Serie A champions have yet to lodge a bid for his client.
"I know nothing of AC Milan's interest. I think at the moment these are only rumours," Santiago told calciomercato.it.
"The only certainty right now is that Denilson will be at training with Arsenal on July 7.
"Are Spanish and other Italian clubs chasing him? Currently there are no negotiations.
"With Wenger we often talk about other issues, but we have never touched on the topic of a possible departure for Denilson."
Denilson started just six Premier League matches last term, with Gunners manager Arsene Wenger preferring to call on the likes of Alex Song and Jack Wilshere in central midfield.
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