There might be something (not much, but something) to this rumor if it involved Cesc Fàbregas, who's now been linked with several Serie A teams, including AC Milan and Juventus, the latter as a possible part-exchange for Leonardo Bonucci. But this rumor doesn't involve Fàbregas, who has maintained anyway that he wants to stay and fight for his place. This rumor involves Nemanja Matić, who has been nigh undroppable under Conte.
That's Matić shopping in one of the fashion capitals of the world, Milan. Alongside him are his family and his agent, and it's the presence of the latter that's generating potential rumors of a future move to Serie A. After all, who takes their agent shopping, unless they are club shopping?
Matić had looked ready to leave Chelsea in the summer, but Conte successfully convinced him to stay. The midfielder has 2.5 years left on his contract; I think it's safe to say he's not going anywhere. Though someone should tell him that the shopping's even better in London.