The 27-year-old Colombian joined Milan in 2012 and was signed as a replacement for Thiago Silva, who joined Paris Saint Germain.
Despite Milan's recent struggles, Zapata has been one of their stand-out performers which has seen him linked with rival clubs.
One of those is United, with reports in England claiming coach Phil Neville had personally scouted him in recent weeks.
But, when asked about United after Monday's 2-2 draw with Roma, Zapata told Italian television: "I do not know anything.
"I am just thinking about Milan. I have a contract until 2016 and I want to stay here."
Zapata previously claimed to have turned down Liverpool in 2011 before he joined Villarreal.
FFS Football365 can you give this United bashing a break? Shun - persistently avoid, ignore, or reject (someone or something) through antipathy or caution. How about "Zapata unaware of United link"? Not very snappy I know but it has the advantage of actually reflecting what he said.- PolishJoe