The Rossoneri have been heavily linked with a move for the 35-year-old Italian international, who struck 23 goals in Serie A last season.
However, Di Natale said that he will meet with owner Giampaolo Pozzo next week to pen a one-year extension to his deal.
"I'm staying at Udinese," he told Udinese Channel. "I will end my playing career with this club. I'll meet with Gino Pozzo next week when I will put pen to paper."
Di Natale joined Zebrette from Empoli in 2004.