The 21-year-old has reportedly been attracting interest from other clubs, which De Sciglio takes as a compliment.
However, the defender says he would prefer to remain at San Siro and help Milan challenge for Italian honours next season.
"It's a pleasure for me that teams like Real Madrid have shown an interest," he told Sky Sport 24.
"But what I am hoping for is to be able to play for a competitive Milan, even though in football you never know what will happen.
"Obviously if the club decide to let me go for financial reasons, I will assess any potential offers."
De Sciglio has made 18 appearances in all competitions for Milan this season.
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