Aubameyang was a target for Milan during the off-season but opted to stay put after a lack of offers, with Chelsea and Liverpool having also being credited with an interest.
Dortmund chief executive Hans-Joachim Watzke said in July that a deadline for the 28-year-old to leave the club had passed, but the striker seemingly remains open to a move to San Siro.
Asked if he wanted to go to Milan while live streaming on Instagram, Aubameyang said: "I would like to but they are not doing anything [to make it happen]. What can I do?"
The comment will be a blow for Dortmund, who have suspended Barcelona target Ousmane Dembele indefinitely after he skipped training without permission amid a bid from the Catalan giants.
Aubameyang represented Milan at youth level but failed to make a senior appearance before leaving the club for Saint-Etienne in 2011.
Milan chief executive Marco Fassone has openly admitted the Gabon international is a target for the Serie A club, who have already added the likes of Leonardo Bonucci, Andre Silva and Hakan Calhanoglu in an overhaul of its squad for the 2017-2018 campaign.
Aubameyang scored 40 goals in all competitions last season and this month confessed to considering a lucrative switch to China.
He scored twice in a 3-1 pre-season victory over Milan and hit a hat-trick in Dortmund's 4-0 DFB-Pokal win over Rielasingen Arlen on Sunday (AEST).