Fofana is being linked with Milan ahead of the summer market.
He told MilanNews: "I think Milan is a truly huge club. Everyone knows Milan and its list of successes. But apart from the chatter in Italy, I remain focused on my mission.
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"That of bringing Monaco to the Champions League which will be like a marathon. From now until the end of the season every match is like a final. And there are seven left to play.
"We have to 'scratch' points where we have to give everything in every match. When you play In Monaco you know that the Champions League is the club's natural goal."