The 35-year old has one more year remaining on his contract at the Stadio Friuli, but he was reported to be a target for Milan having netted 23 goals in 33 games during the last campaign.
Di Natale is expected to agree a one-year extension to his current deal when he meets with Udinese officials.
The Italian has spent the last nine years with the club since his move from Empoli, and he says he has no intention of leaving before his retirement.
"I'm staying at Udinese," he told Udinese Channel.
"I will end my playing career with this club. I'll meet with Gino Pozzo next week when I will put pen to paper."