In recent weeks the Italian has been linked to Roma and Inter Milan but he insists he is happy at AC.
Allegri said: "The future? I'm really happy to be at Milan and to remain at Milan. I have another year on my deal.
"We are working to try and get third place. I'm really happy for what my guys are doing. I have clear ideas about what my future will be. These rumours are bothering me, also towards other coaches.
"I have a good feeling with the president, he has always had faith in me and I have told him that I want to stay in Milan."
Allegri was talking after his side's 1-0 win over Torino thanks to yet another goal from Mario Balotelli and he added: "Torino gave us many problems. The team believed in the win until the end.
"Third place? During the week we must play again and we must not lose our concentration."