The 23-year-old has been the subject of intense transfer speculation over the past few months, with recent rumours suggesting Aubameyang could be on his way to the Premier League.
Gunners boss Arsene Wenger has been credited with an interest in bringing the Gabon international to the Emirates Stadium when the transfer window reopens on July 1, while Chelsea owner Roman Abramovich is also believed to have been monitoring the player's situation in Ligue 1.
Both Arsenal and Chelsea now appear to face an uphill struggle to convince the African to swap France for England, though, as Aubameyang looks to have his heart set on a return to Italy where his career first began at San Siro.
"A few years ago they told me that after playing with Milan, if I were to leave, then I'd want to come back to the Rossoneri," he said. "I now feel ready to confirm it really is like that.
"I would like a return to Milan, but I don't know if that would be an easy thing to achieve."
Aubameyang swapped Milan for St Etienne in 2011, and has gone on to establish himself as one of the most sought-after forwards in Europe following a number of eye-catching performances over the past couple of seasons.