Sneijder has recently been strongly linked with the likes of Manchester United and Malaga.
“I want to stay. I have great friends here like Javier Zanetti who kept us all together when morale was low [last season],” Sneijder told Vanity Fair magazine.
Reports from Holland have suggested that the 27-year-old will join United in the summer.
“If the team decides to sell me then I would go where they say, but I would be unhappy [to leave],” he said.
“I am fine in Milan, and I would miss Inter, but this is football.
“When I was sold by Real Madrid to Inter I would have preferred to have stayed in Spain.”