Robinho is under contract with Milan until 2016 but Orlando City - set to compete in the MLS in 2015 - have made no secret of their desire to reunite Robinho with new recruit Kaka in the United States.
A deal between Milan and Orlando City is yet to be agreed, although Robinho told Sky Sport Italia talks were ongoing.
The 30-year-old Brazilian also thanked Milan's fans in a comment that is set to spark talk of an imminent departure from the Italian giants.
"We do not know yet (where I will go)," said Robinho, who won the Serie A title with Milan in 2010-11.
"For fans of Milan I can only say thank you for everything.
"We're still deciding. We will choose the best for me and Milan, which has always treated me very well."