The 19-year-old Brazilian is rated as a £45 million prospect after scoring 15 Serie A goals in only his second campaign with the Rossoneri.
While there is strong speculation linking him with a move to join former Milan manager Carlo Ancelotti at Stamford Bridge, Pato himself has pledged his allegiance to the Italian giants.
The Brazilian told Gazzetta dello Sport: "I have read the reports linking me with Chelsea, but my agent and the club deal with this type of thing.
"I want to win everything with Milan."
As regards fellow countryman Kaka's reported move to Real Madrid, Pato said he hoped everyone would be happy with the outcome.
"I just hope that everybody will be happy in the end: Kaka, Milan and Real. Or, perhaps, even Chelsea, who are also interested in 'Ricky'," he added.
"I'm sure that Kaka will make the right choice for him and for Milan."