The Swiss international played in Saturday's 6-0 Nations League victory over Iceland and provided an assist.
“There was interest from Paris Saint-Germain, but I am still at Milan and get to play at San Siro, a world class stadium," Rodriguez told Tagblatt.ch.
“The fans are wild here. Milan is still Milan. People can say what they want about my career, but everyone would love to play for Milan.
“Just you wait and see what'll happen when we are back in the Champions League."