The Milan youth team coach was denied the chance to speak to Sassuolo after the Serie A strugglers parted company with Eusebio Di Francesco last month.
The 40-year-old respected Milan's decision to reject Sassuolo's approach and although the former front-man remains focused on his role at Milan, he would be open to offers from the right club.
"Milan did not want me to talk (to Sassuolo) and it was closed," he told the Gazzetta dello Sport. "I have not forced anything.
"Milan has given me everything. I would never go against them.
"Faced with a major project, if Milan agree, then I would consider it. Otherwise, I will complete the plan (at Milan).
"I'm not afraid of anything, I know that sooner or later I will leave my boys."
Inzaghi, who was touted for the Milan job before Clarence Seedorf was appointed, led the youth team to victory in the Viareggio tournament on Monday - the first time the club have won the competition since 2001.
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