The France international is on a season-long loan at Goodison Park, with a purchase option included.
However, Le 10 Sport says Milan have registered their interest with Sidibe. Talks were held between the two parties before Christmas.
Everton can sign Sidibe outright for €14m, but the player can't guarantee he will be staying long-term.
He said in November, “I was loaned with an option to buy but I will have my say at the time of the negotiations. My goal this season is to play, to reconnect with the great club performances.
“The following will depend on several factors. We will then have time to sit around a table to find out what is best for the club and for me."