Huntelaar has been linked with Tottenham in recent days.
"I see my name in the Italian newspapers and I don't understand why," Huntelaar said when asked to comment on the speculation.
"I would like to know who has said that I will be sold, because it doesn't seem like anyone from the club has said anything.
"No other club interests me: my agent has never spoken about a transfer and I want to stay at Milan.
"I will not leave Milan until I have demonstrated my worth."