Dzeko, who scored 26 goals for City last season, has been repeatedly linked with a move to the San Siro during the past few months.
Despite Inter's interest in the forward, Thohir expects Dzeko to be valued too highly by the hierarchy at the Etihad Stadium.
"I like players like [Sergio] Busquets, Luiz Gustavo and Dzeko, but today we cannot afford top players. I hope we can tomorrow," he told La Gazzetta dello Sport.
Dzeko joined City from Wolfsburg in 2011 for £27m.