Juve targeted the veteran striker after deciding to sell Diego to German club Wolfsburg last year.
"We don't sell players, but if they come to us asking for a move and there is no chance of keeping them then we talk about transfers," Udinese patron Giampaolo Pozzo stated.
"With regards to Di Natale, his agent let us know that he was in possession of an offer from Juventus.
"We set the price and the same representative informed us that in Turin they had agreed to pay what we were asking for.
"However, when we spoke to the player he told us that he was happy to remain in Udine. Everything ended there."