Ambrosini has been given a free transfer by the Italian giants after 18 years at the club and Sam Allardyce has identified the midfielder as a summer target.
The 36-year-old also has offers from Major League Soccer clubs in the United States but agent Moreno Roggi has revealed that neither this nor retirement are options his client is considering.
"Obviously Massimo wants to continue," Roggi told the Calciomercato website.
"His preference would be overseas clubs, but if an offer did come in from an Italian side, we would not ignore it completely.
"At this moment we are in talks with West Ham, while we have already ruled out Major League Soccer."
Ambrosini won two UEFA Champions League trophies for Milan, making his debut in 1995 alongside the likes of Franco Baresi, Paolo Maldini, Marcelo Desailly and former Hammers hero Paolo Di Canio.