At halftime of their defeat at Napoli, Walker was heard telling Felix, "pass the ball, nobody here is Messi".
The on-loan Manchester City defender insists he wasn't seeking to put down Felix at the time.
Walker said on his personal podcast: "It wasn't me saying to Joao 'you're not Messi, pass the ball'. It was saying 'let's make sure we have a process'. He agreed with me and said we need to have more passes and a bit more control.
"I didn't just say it to Joao. I didn't know there was a camera there. But I still wouldn't have changed anything I did say.
"The comment I said was nobody is Messi.
"That's in every team in the world bar certain individuals who can turn a game on its head when they want to. I give them their plaudits - it's Kylian Mbappe, Vinicius Jr, Mo Salah and Ousmane Dembele, who has been on fire since the start of the year.
"Apart from that you say it's a team game."
Leao can change a game
Walker also discussed his Milan teammate Rafael Leao on the podcast.
He stated: "What I was saying to Joao is Leao is fantastic. One of the players who you can give him the ball and he can go past three, four, five players and put it in the top bin.
"At City most of our joy over the last number of years was from a process. Everything was the process of working out where you were on the pitch. That was with passes.
"If you have a player like Messi he can take on four players and put it in the back of the net. It makes the game so much easier.
"But against good-level opposition like Napoli I feel you need a process of passing the ball and wearing them down. Then the gaps appear. That was the conversation with Joao."