The Red Devils have been heavily linked with the Serb in recent months, despite the fact the Serie A outfit have slapped a huge price tag on their prized asset.
Milinkovic-Savic is said to be indispensable to Lazio.
And the midfielder has put another dent in United's hopes of acquiring his signature.
“I had a year to remember,” he told Serbian site Novosti.
“I would like the same success in 2018 as well.
"There are so many challenges, but before every training session and every game, I tell myself this is the ideal day to get even better.
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“I am not thinking about leaving Lazio, because I am currently very happy in Rome”
Sergej Milinkovic-Savic
"I want to make as much progress as I can in the year ahead.
“I am focused only on Lazio. This season, Serie A has improved significantly, as you can see by the fact all the clubs are still in the Champions League or Europa League.
“As a club, we have a clear goal of a top four position, because that gives qualification to the Champions League from next season. That is a really big challenge.
“I am not thinking about leaving Lazio, because I am currently very happy in Rome.”
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Another reason the 23-year-old is not eager to leave Serie A is down to his brother.
Vanja Milinkovic-Savic is now Torino's second choice goalkeeper.
“It means a lot to have Vanja close to me," he continued.
"We support and strive to motivate each other.
"We play in one of the strongest leagues in Europe and we’re proud for each other.”