Heerenveen's Icelandic striker is second top scorer in the Dutch league with only Wilfried Bony ahead of him.
The 24-year-old has been linked with the Premier League with Sunderland, Everton, Aston Villa and West Ham all reported to have watched him in recent weeks.
Reports in Italy claimed that Heerenveen boss Marco van Basten had tipped off his former club Milan about Finnbogason.
However, his agent Magnus Agnar Magnusson says he has not heard from anyone at the San Siro.
"Nobody from AC Milan has called me and whilst I don't hear anything from the club, I am inclined to believe that is just a rumour," he told calciomercato.
"In England? We have been in touch, but we are in no hurry to talk about any team, at this moment he only wants to think about finishing the season well with his club."
He insisted that Finnbogason did not have a preference of where he might like to play.
"The English league is one of the best, but he does not have a preference, he is doing very well so it is normal his name would get linked with teams from England, Italy, Spain and Germany.
"He has the quality to emerge in one of Europe's top leagues - but at the moment he is being coached by Marco van Basten and that is a great opportunity for him and he is making the most of it."