Sky Sport Italia says the Swede has handed in a transfer request.
"I always had so much faith in my abilities that I thought I could succeed anywhere," he told Telefoot.
"I am happy to have won the title in my first season, but I always want to do better and improve on the previous campaign.
"It wasn't easy to begin with, as Leonardo warned me it would've been different here. We're not in Milan any more.
"In every team I was at, there were always 'clans,' but what counts is to be a professional."