The Fluminense defender, now 41, has been linked with a return to Milan as management seek an experienced addition to help shape the dressing room.
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But Allegri responded to the rumours, stating: "I spent two wonderful years with Thiago, an extraordinary player.
"He continues to compete at a high level. The club handles the transfer market. We have to focus on the matches, taking them one by one, because you can't play more than one at a time.
"I haven't called Thiago. He's still a player, not a coach."
