Icardi is expected to move to Inter this summer.
"I am glad to hear these stories," he told Corriere dello Sport. "Talk about the transfer market is not for me.
"But I am flattered by the Inter rumours. They are a great team with many great players from Argentina.
"San Siro is a beautiful stadium and will remain in my memory forever.
"I have not played there yet though. Both times I've gone there I have been on the bench."