Various reports suggest that the Saudi Pro League Club has made an offer to Inzaghi, 49, that would make him the best -paid manager in football.
Inter Milan missed a second consecutive Serie A title of the final champions Napoli, but will play in the Champions League final against PSG on Saturday.
In his press conference before the competition, Inzaghi was opened about his future with the Italian giants.
He said: “Without a doubt, but as I said before, we really want to play this game and our only thought now is on the game. I have often said that I am happy in this club, so I have everything I want to do well and keep satisfying the satisfaction here.”