AC Milan president Silvio Berlusconi had previously intensified speculation about a possible move for Balotelli in January by giving an ambiguous response when asked about the 22 year-old.
"No, it's not a dream. I never dream," is how Berlusconi responded to questions over a possible swoop for the striker.
However Balotelli's agent, Mino Raiola, also speaking to Sky Sport Italia, has moved quickly to refute any possible truth in the rumours, comparing his client to a particularly famous work of art.
"Mario Balotelli costs as the Mona Lisa and then in Italy there are no clubs who can afford him," he said.
The enigmatic Balotelli has seen his first-team opportunities limited at the Etihad this season, and his tempestuous relationship with Mancini has seen no obvious signs of waning.