"The Milan directors have been keen to show their interest in me regularly over the last six years," the 31-year-old told L'Equipe.
Sagnol has been frozen out by current Coach Ottmar Hitzfeld, but the tactician will be replaced by Jurgen Klinsmann this summer and that could signal a fresh start for the former Monaco man.
"I am proud to get Milan's attention, but my first priority remains Bayern Munich," Sagnol continued. "I have spoken to the new Coach Klinsmann and he told me that he is counting on me.
"Nonetheless, in the world of transfers, things can go very quickly. Milan are a big club and there is another great team, who aren't Italian, that are taking an interest.
"All I can say is that I will make my decision before the European Championship. For now, I just want to concentrate on playing."