The Swede has been linked with Real Madrid.
"A new challenge would be great," he told Afton Bladet. "But I've faced so many in my career and I have now learnt one thing - if you're happy at a club then you should stay.
"I want to remain here. I'm happy at Milan, I could not ask for anything more and everyone treats me in the best possible manner.
"I won't run away because I don't need to. I want to stay at Milan."