United boss David Moyes has reportedly lined up the 27-year-old Colombia centre-back as a potential new recruit next month.
Moyes could be set to embark on a January spending spree in order to get United back in the Premier League title race.
However, former Udinese man Zapata has no intention of leaving the San Siro.
When asked about a link with United, Zapata said: "No, I do not know anything. I just think about Milan. I have a contract until 2016 and I want to stay here."
Zapata was speaking after Milan drew 2-2 at home to Roma on Monday night, a result which leaves them 10th in the table.
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