Shevchenko retired from football in July 2012 after a career that saw him win the Serie A title and a UEFA Champions League crown with Milan.
The ex-Ukraine international has previously declared his intention to take up coaching, despite joining the Ukraine Forward! political party shortly before his retirement.
And the 37-year-old feels the coach's position at Milan would be a perfect role for him.
"Now is a moment of transition for me. I am studying," Shevchenko is quoted as saying by Gazetta dello Sport.
"I'm preparing for the future, certainly coaching Milan or Ukraine's national team would be ideal for me."
Current Milan boss Massimiliano Allegri is thought to be under considerable pressure following a disappointing start to the season that sees them 19 points behind league leaders Roma after 12 games.
But, despite their poor form, Shevchenko does not believe Allegri should be relieved of his duties.
"The club will decide but I don't think it's the time for a change," he added.
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