The 19-year old Brazilian attacking midfielder is currently starring with homeland club Santos but there are reports suggesting that the Rossoneri are keen to bring him to Italy.
However, Anderson is not aware of the interest although he does admit he would ponder the possibility of moving on if his current club allowed it.
"I know about the supposed interest. People told me about it on Twitter," he 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."