Capello, who resigned from the England job in February after a disagreement with the FA over their handling of John Terry’s captaincy, had been linked with a move back to the club where he cut his teeth as a coach and a player, with reports suggesting he was in line for a director’s role or as a replacement for Massimiliano Allegri.
Capello ruled out the former role and, while he expressed an interest in coaching in Italy, he said a return to Milan was wide of the mark.
"I was behind a desk for years," Capello told Sky Sport Italia. "I want to continue coaching.
"I want to work abroad, but would consider Italy if an interesting project was offered to me.
"I’ve read the stories linking me to Milan, but none of it is true. I have had no contact with them whatsoever."
Capello has been linked with a variety of high-profile jobs since quitting England, including the Chelsea and Tottenham manager’s jobs, plus the Chinese national team and a money-spinning move to Russia or the Middle East.
In addition to managing Milan twice, the 65-year-old has also coached Real Madrid, Juventus and Roma.