Italy coach Rino Gattuso revealed Chiesa's decision on Monday.
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"I often talk to him," said Gattuso. "We have to respect the decisions and problems that each of us has.
"We know well what we tell each other, and I must respect what the player tells me. I can't say anything else.'
Gattuso was asked by reporters for if Chiesa had made the decision himself and he replied: "Yes, it's already the fourth or fifth time that I'm explaining this."
Chiesa is fully fit and has scored twice for the Reds so far this season.