Reports in Italy suggest City have been pushing hard for El Shaarawy over the weekend.
"I don't think I will leave Milan," he told La Repubblica.
"If City really wants me, it flatters me. But I want to stay here at AC Milan.
"I always felt total confidence from all: the club, coach [Massimiliano] Allegri and team-mates.
"It's also thanks to them that I am in the Italian national team."