The former Italy full-back, 35, is set to quit the San Siro as they embark on a rebuilding project following their Serie A title defeat to Juventus.
Zambrotta, who has played for Barcelona and Real Madrid, said he is looking at possible moves to the United States and the Middle East.
"I still feel like a footballer and I want to try an experience abroad," he told told Corriere dello Sport.
"Where? Dubai or the United States."
Zambrotta pinpointed why Milan lost the title this season, saying losing playmaker Andrea Pirlo to Juventus was a grave error and going so far as to name a possible replacement.
"Milan need to find a new Pirlo," he added. "His sale was a big mistake. I’d advise the Rossoneri to buy Marco Verratti of Pescara.
"He is an element that is growing and maturing. He could get very close to Andrea."