The 23-year-old has been heavily linked with a move away from the Serie A outfit, and to the English Premier League with United topping the list of potential suitors for the estimated £87.5million player.
Speaking ahead of Serbia's international friendly against Bolivia, the midfielder said: ''I am trying to remain concentrated, even though every day I read something new about me.''
''Obviously, I feel pressure on me and know that I'll have to live with this situation throughout the World Cup. It's the same pressure as when I play for Lazio, so I am accustomed to it.''
Milinkovic-Savic added: ''I will decide where to continue my career after the World Cup. There's a very good atmosphere among the squad and it feels like I've been here for years. I can't wait to start the tournament.''