The 33-year-old still believes he can star at the highest level and has been linked with Liverpool, Real Madrid, Monaco and Manchester City.
It has been suggested that Cole would prefer to move abroad rather than continue in the Premier League after eight years at Chelsea and eight years at Arsenal.
Although it has widely been reported that Cole will only consider a club who will be playing in next season's Champions League, it seems that he may be open to joining AC Milan.
Milan are looking to rebuild this summer after a dismal campaign that saw them miss out on Europa League qualification.
Pippo Inzaghi is set to take over the reins from Clarence Seedorf and Cole may be one of his new recruits.
The odds in England are very different with any MLS club being listed at 5/2 then Monaco at around 3/1 ahead of Liverpool and Real Madrid.
Cole to move to AC Milan is generally still listed at close to 20/1 with most British bookmakers.