Shevchenko, 43, has been in charge of Ukraine since 2016 in his first senior coaching job.
The former forward played for the likes of Milan and Chelsea during his career, winning a Serie A title and Champions League while at San Siro.
Shevchenko hopes to one day return to Milan – as their head coach.
"Milan is always in my heart and one day, when I decide to change, I would love to train them," he said during an Instagram Live chat on Wednesday.
Milan have struggled in recent seasons, last winning the Serie A title in 2010-11.
They were seventh in the table when this campaign was suspended in March due to the coronavirus pandemic and Shevchenko hopes Milan can improve when the season resumes.
"We must try to finish the season at best at this moment. Everyone will have to give their best to have respect of the fans," he said.
"Then, we will see what will happen and what future the club will have."