Pato admitted after their 3-1 win at Anderlecht that a January exit could be a possibility.
"If he said certain things then he must have had his reasons," Gilmar Veloz told TMW.
"I want to get a better understanding of the situation with Milan.
"I'll arrive in Italy on Tuesday, I'll speak with Pato and then with the club to evaluate what to do next. I don't want to really say anything more because I wouldn't want to say inexact things."