Reports in Italy on Wednesday suggested that another Milan official, Ariedo Braida, Di Natale and the player's agent had all met to discuss a possible transfer.
But, speaking to Sportmediaset, San Siro vice-president Galliani said that wasn't the case.
Galliani said: "There hasn't been a meeting. It's completely groundless news."
Di Natale scored over 20 goals for Udinese last season.