Rui Costa concentrating on Milan
The 31-year-old is contracted to Milan until 2006 and the club have insisted he is not for sale.
However, the arrival of Brazilian star Kaka has put pressure on Rui Costa and speculation in Portugal has suggested that Benfica will make a bid in the summer.
"Now I don't think about leaving Milan," he said.
"For the whole of my career I've received offers from other clubs, but I've prefer to give the priority to the club in which I was playing in that moment. And the same is now.
"This year I have played less in comparison to last season and this is due to Kaka's arrival, who in a short time will be the best player in the world.
"When Milan started playing with two forwards and an attacking midfielder, [Milan coach] Ancelotti's choice was for him.
"I don't feel ashamed and I accept it."