The Colombia international has been the subject of heavy speculation this summer, with numerous reports linking him with a move to the Premier League and in particular West Ham.
However, Bacca now says that despite heavy interest his first option is to remain with the Italian giants.
“I know there is interest from several clubs. But I have a contract with Milan and so I’m talking to them to get a positive solution for me and my family as soon as possible,” he told Sky Sports.
“All options are still open. My first choice is Milan and then we’ll see what happens.”
Bacca won back-to-back Europa League titles with Sevilla before leaving for Milan 12 months ago.
Despite the Italian club under-performing in Serie A, the talented striker topped the club’s scoring charts and once again proved himself to be one of the best forwards in Europe right now.
West Ham have made no secret of their desire to sign a big-name striker this summer, yet so far they have been left disappointed in their search and right now a deal for Bacca seems some way off.