Bacca only moved to San Siro from Sevilla last July and scored 20 goals in all competitions in a fine debut season in Serie A.
However, Milan failed to qualify for European football for a third consecutive season and Bacca is being linked with an exit, with the player's agent claiming West Ham have already had one offer rejected to bring him to the Premier League.
But Bacca, who started as Colombia beats hosts United States 2-0 in California in the Copa opener on Friday, insists that his domestic future is not a pressing concern.
"For now I do not think about [my club future]," he told Sky Sport Italia.
"I am only focused on the Copa America with Colombia. But I can say that I have a contract with Milan for another four years yet."
Club-mate Cristian Zapata, who scored the opening goal for Colombia against USA, is hopeful of signing a new deal at Milan with his current contract set to expire at the end of the month.
"We are talking about a renewal," he said. "There is optimism and we hope to reach an agreement as soon as possible."