The Italy international's agent, Andrea D'Amico, recently revealed his client's 'distress' at Ancelotti's move to Stamford Bridge.
D'Amico, though, insisted that tough-tackling Gattuso, who joined Milan in 1999, did not want to bring to an end his time at the San Siro.
But Gattuso has now indicated that, despite having two years remaining on this contract with the Serie A giants, he could be interested in a switch to England.
"I like the Premier League. The Premier League is the best league for me, for my characteristics," he said in the Daily Mirror.
"I don't know what will happen. I have been at AC Milan a long time and it's not easy to go away, but we'll have to see.
"Chelsea are a big, big team but working with Ancelotti is a good feeling. We have worked together for eight years and he is for me a second father.
"He is a great person, and a great manager."