The Portuguese was reportedly in attendance to scout Milinkovic-Savic and Fiorentina defender Nikola Milenkovic.
Milinkovic-Savic said: "I am a Lazio player but it is obvious that I was pleased that a coach of his stature came to watch the match.
"I read a little bit everywhere he was here at the stadium to see me play, but that does not mean anything. Maybe he was not here for me, but for someone else."
Milinkovic-Savic, 23 is under contract with Lazio until 2023.
Meanwhile, 21-year-old Milenkovic has been dubbed the new Nemanja Vidic.