The 34-year-old claimed the Golden Foot award on Tuesday, almost a year after winning the Ballon d'Or following a tremendous 2018.
However, Modric has only made three LaLiga starts for Madrid this season and has previously been linked with a move to both Milan clubs.
The Croatia international said he followed Serie A and enjoyed Italy, with a move possible in the future.
"I like Italy, it's close to Croatia," he told Sky Sport. "I follow Serie A because I have many national team-mates playing there.
"The Italians are fantastic and have a mentality similar to us Croats."
Modric added: "We'll see if one day I can play in Italy. I cannot talk about this because I am a Real Madrid player.
"I like being at Real and for now I see my future there alone."
Modric has been at Madrid since 2012, when he arrived from Tottenham, and has made more than 300 appearances for the club.