Aubameyang spent time in the youth ranks at the San Siro but failed to break into the Rossoneri side before joining French club Saint-Etienne in 2011.
The Gabon international has since established himself as one of the most dangerous forwards in world football with 85 Bundesliga goals in just 128 appearances.
Aubameyang has been regularly linked with a move away from BVB in recent months with the likes of Barcelona, Chelsea and Liverpool all mooted as potential suitors.
Milan have also been linked with the 28-year-old and, speaking on a live Q&A with fans on Instagram, Aubameyang says he would return to the Serie A giants - but he says they have no made an approach.
Responding to one user who said "come to Milan", the forward replied: "I want to go back, but they are sleeping. What do I have to do?"