The 27-year-old Brazilian playmaker has caught the eye of many of Europe's top clubs but Lazio have denied any reports linking him with a move away from Stadio Olimpico.
Responding to the news, Lazio president Claudio Lotito rubbished any suggestion of Hernanes joining Milan.
Lotito told Gazzetta dello Sport: "Milan have not asked us about Hernanes and the player is not on the market. We want to strengthen our team and not weaken it".
He also commented on coach Vladimir Petkovic's future, stating he will be staying at the club.
"He has a contract with Lazio and it's not an issue," added Lotito.
Lazio, who recently missed out on a Europa League place through the league after losing to Cagliari 1-0, will now be focusing their efforts on the Coppa Italia final against arch rivals Roma, which takes place this weekend.