Icardi also qualifies for Italy and was under consideration by Cesare Prandelli.
"I'm very grateful to Italian football for the opportunity it has given me," the youngster told Il Secolo XIX.
"I'd also like to thank Prandelli for the nice words he expressed about me, but I have to be honest and sincere.
"I'm Argentine, I feel Argentine and I've always dreamed of wearing the shirt of my nation. To actually do that would be the maximum for me."