De Zerbi has been mentioned as a replacement for Stefano Pioli at Milan.
Former Napoli and Udinese striker Denis told Sportitalia: "When Inzaghi was in the balance last year, Inter contacted Roberto De Zerbi.
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"I know for a fact that the current Brighton coach said no to the Nerazzurri because he is a big AC Milan fan."
De Zerbi is a former Milan youth teamer.