PSG picked up the Italy international is a Bosman deal this past summer.
"We never contacted Donnarumma before June," Leonardo said at the Festival of Sport, organised by La Gazzetta dello Sport. “Never.
“We had no idea of signing him. In June, he was still free, we talked and decided to do this. There was never any work before that."
He added: “Milan said in April that they wouldn't continue with Donnarumma and signed Maignan.
“From there, publicly, he became a free player, but we never contacted him before June. We never worked to make him leave on a free transfer."