Several reports are suggesting the Saudi Pro League club have made an offer to Inzaghi, 49, that would make him the highest paid manager in football.
Inter Milan missed out on a second consecutive Serie A title to eventual champions Napoli but are set to play in the Champions League final against PSG on Saturday.
Speaking in his pre-match press conference, Inzaghi opened up regarding his future at the Italian giants.
He said: “Without doubt, but as I said before, we really want to play this game and our only thought right now is on the match. I already said many times that I am happy at this club, so I have everything I want to do well and keep achieving satisfaction here.”