Anderson admits he would be interested in discussing a move if Milan put an enticing offer on the table.
"I know about the supposed interest. People told me about it on Twitter," the 19-year-old playmaker told Radio Estadao.
"But nothing has been put to me directly. I have no information.
"I can't really comment on this because I don't know if it is real.
"If it is true and it is good for myself and for Santos, I would think about it."