The 24-year-old Serbia international was regularly touted as a possible signing for the Red Devils during the summer window after Manchester United opted to let both Marouane Fellaini and Ander Herrera leave the club.
Milinkovic-Savic, however, ended up remaining as a Lazio player after the Red Devils did not conclude a deal to bring him to Old Trafford.
The transfer rumours are likely to pick up once again in the January window but for now, the midfielder remains a Lazio player.
And Milinkovic-Savic himself has now insisted that he is happy at the Serie A club and is focused on enjoying a successful season in Italy.
Speaking in an interview with Espreso, as quoted by Metro, Milinkovic-Savic said: “The Premier League transfer window is shut, so the Manchester United story is finished.
“I wasn’t irritated by everything that was written in the papers, because my mind was concentrated on preparing for the new season in the best possible way.
“I am where I am and I want for nothing at Lazio. I don’t think much about the transfer market.
“All sorts of things were written about me, but I know where my mind is and who I have a contract with.”
The Red Devils ended up bringing in three new signings this summer – Aaron Wan-Bissaka, Harry Maguire and Daniel James.
Manchester United will return to Premier League action on Monday night when they travel to Wolves in the top flight.
They got their campaign off to a flying start on Sunday when they sealed a 4-0 win over Chelsea FC at Old Trafford in front of their home fans.
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