The Italian stopper was given rave reviews in his debut top-flight season with the newly-promoted outfit last term.
With Di Gregorio between the sticks, playing in all-but-one of Monza's 38 Serie A games, the club backed by the late Silvio Berlusconi finished in 11th, just four points shy of European qualification.
Rumours linked the keeper with a move to Forest, as the Premier League side were in desperate search for a new number one following the expiry of Dean Henderson and Keylor Navas's respective loan moves.
However, Di Gregorio's agent Carlo Alberto Belloni has stated that his client will remain in Italy for the foreseeable future.
While admitting Di Gregorio was "flattered" to receive Premier League injury, the agent confirmed the player will not leave his homeland for the time being.
Speaking to TVPlay on Twitch, Belloni said: "The flattery from the Premier League is nice but we have decided to renew with Monza, which is the right environment for him."
Inter Milan sold Di Gregorio to Monza last summer after a two-year loan deal with the club, but they were the other club believed to be showing interest in the 26-year-old.
"Inter Milan? In the last transfer market they never called us back." Belloni added, in response to the Nerazzurri's rumoured interest.
After selling Andre Onana to Manchester United, Inter were in the market for a goalkeeper, but eventually opted to purchase Yann Sommer from Bayern Munich.
Forest were unable to strike a deal which would have seen Navas make his loan move to the City Ground permanent from Paris Saint-Germain over the summer.
The club were also reluctant to pay Man United's asking price for Henderson, given his injury record and the fact that he missed half of last season while on loan at Forest.
With Di Gregorio off the market, Forest can at least be content that they sealed the signings of Arsenal's Matt Turner and Odysseas Vlachodimos from Benfica to solve their brief keeper crisis over the summer.