The Ukrainian hot shot had also been touted for a move to Lazio but Shevchenko insists he is happy to remain with the Rossoneri.
Shevchenko has spent three seasons with Milan and after a prolific first two campaigns, the former Dinamo Kiev marksman struggled with injuries last term.
However, his ability has never been questioned and he remains coveted by a string of Milan's major European rivals.
Recent rumours of a swap deal involving Inter's Christian Vieri have trickled through the Serie A grapevine, while Real Madrid's high-profile search for a star striker has seen Shevchenko mentioned as a possible candidate.
But Shevchenko is keen to remain at Giuseppe Meazza and banish the memory of a hampered 2001/02 campaign.
"I have never thought of leaving Milan because I want to play here and achieve something important," said Shevchenko.
"Unfortunately (last season) I was not well. I had problems with my back and then had the thigh injury.
"When you think that in my first two years at Milan I missed about four or five training sessions overall, and last season I missed about 50-60. I assure you that my problems were not small.
"The best gift that you can wish for is health because it is not easy to play when you are not well."
Milan have the prospect of Champions League football to persuade Shevchenko to stay with the Rossoneri.
Coach Carlo Ancelotti has also been active in the transfer market, capturing a new strike partner for Shevchenko in the guise of Jon Dahl Tomasson.
While Shevchenko is impressed by the quality of arrivals, he acknowledges it is no guarantee of success.
He added: "The club has made some good transfers, bringing in players of great character who will make Milan even more competitive. You have all seen Tomasson, he played very well for Denmark.
"But transfers do not ensure titles, as recent history shows.
"I think it will be the way we gel as a group that will be able to help us make the step up in quality. A player can score many goals but you need good players behind in midfield and defence."
