Media reports have linked the Premier League runners-up with a summer approach for the 20-year-old Italy international, who scored 18 goals in all competitions for the Rossoneri in the 2012/13 season.
February saw El Shaarawy sign a contract extension tying him to the San Siro outfit until 2018 and he cannot imagine leaving Italy in the near future.
When asked about potential interest from City, he told La Repubblica: "I've not thought about it, I really don't think I'll leave Milan.
"If it's true that City want me then that's flattering, but I'm really happy at this big club and feel a connection to the place."
City are reported to have prepared a swap deal involving Argentinian striker Carlos Tevez for the left-footed forward, who joined Milan from Genoa in 2011.