The 29-year-old's season is over after cruciate ligament surgery and on leaving the clinic Mexes revealed he had almost certainly played his last game for Roma.
"It's talked about a lot, probably yes," Mexes told reporters when asked if he was signing for Milan.
"But neither in Italy nor abroad will I find a team like Roma. Football is like that. Life makes you make other choices."
His Roma and France team mate Jeremy Menez, visiting Mexes in hospital, hinted he could also quit Vincenzo Montella's sixth-placed Serie A side.
"I don't know," the midfielder told reporters when asked if he would stay.
"I was misunderstood the last time," Nesta told Milan's TV channel. "I didn't say I was quitting at the end of the season. I'm close to the end but not at the end."
