Ambrosini, who spent last season at Fiorentina after 18 years with Milan, is a free agent this summer and has been linked with a move to the Championship side due to their Italian connections.
Newly-promoted Cesena - the club where Ambrosini started his career – has also been mooted as a potential destination after the 37-year-old was not offered an extension to his one-year deal in Florence.
Ambrosini made 21 Serie A appearances during the last campaign and Sannino spoke highly of his fellow Italian amid reports of a switch to England.
"Who wouldn't like to train him? He’s one of the most serious Italian players, a really good professional," he told Tuttomercatoweb.it.
Sannino only replaced Gianfranco Zola as Watford boss late last year but has regularly been linked with a return to Italy, where he managed the likes of Siena, Palermo and Chievo Verona.
However, the 57-year-old insists he plans to honour his contract with the Hornets as he plots a return to the top flight.
"I have another year's deal with Watford. Contracts are done also to be annulled, but I want to live this adventure here," he said.
When asked if there had been interest from Bari as reports had suggested, Sannino replied: "Not only them. In Italy I had a few other situations but I wanted to continue here.
"Our aim? Premier League."