Anderlecht are demanding €8 million for the Argentine.
The Belgian club's director general, Herman Van Holsbeek, told calciomercato.com on Wednesday: "Milan are interested in Lucas Biglia.
"He's expressed a desire to move to Italy? We haven't received any offers. I can't rule out the possibility his agent is offering him to other clubs, but our position is clear.
"The player still has two-and-a-half years to run on his contract. Obviously if someone pays us enough then we could not say no but we would need eight million euros net.
"That would mean, with one thing or another, a fee of about 10,250,000 euros.
"That would obviously be the fee that would allow us to sell him immediately, we can re-evaluate in the summer, but in January he will not go for a penny less."