The Italians’ made an enquiry for Lookman but were told firmly that the winger is not for sale.
Milan were keen on a permanent deal for the 21 year-old but the Toffees have high hopes for Lookman and no interest in selling.
The Serie A side are now weighing up testing Everton’s resolve with a formal offer before Thursday’s transfer deadline.
Since then Lookman has managed to force his way into Marco Silva’s side, making 16 appearances.
Milan have been keeping an eye on the Premier League in their search for a new wide man.
They have also considered Watford’s Gerard Deulofeu but been told that he too is going nowhere.