Allegri, who has been in charge at Milan since 2010, said that he would not want to take over the country's team until nearer the end of his career.
"I have said more than once that every coach dreams of coaching the national team and that's the case for me as well," Sky Sport Italia quotes Allegri as saying.
"But I can not deny that I have the ambition to take charge of Italy at some point. I'm not necessarily talking about the immediate future, but maybe in 10 years or so."
Milan are currently sixth in the Serie A table after two games.