The Uruguay international has been put up for sale by Liverpool this summer after they refused to do business with Al-Nassr for the striker in January.
La Gazzetta dello Sport says new Milan sports chief Igli Tare is seeking a new striker addition and is a fan of Nunez.
Napoli and Al-Hilal are also interested in Nunez this summer.
For their part, Liverpool are seeking to sell for around €40-45m.