The 27-year-old has been strongly linked with a move away from the Stadio Olimpico, with the likes of Manchester United and Paris Saint-Germain believed to be interested in the player's services.
Lazio's president Claudio Lotito recently insisted that the Serbia international is "not for sale", but Sarri has since revealed that clubs from abroad could persuade the Italian outfit to cash in on the midfielder.
Speaking to Goal, Sarri said: "Speaking to the president, I have become convinced that if Milinkovic does leave, and that will not happen easily, he will not remain in Italy."
Milinkovic-Savic has been a standout performer for Le Aquile this season, scoring 11 goals and registering 12 assists in 46 appearances across all competitions.
The former Vojvodina and Genk man has been with Lazio since 2015 and is under contract until the summer of 2024.