The 19-year-old saved two penalties as AC Milan beat Lazio 5-4 in a shoot-out after the two-legged semi-final ended goalless to set up a rematch of their lost 2016 final against Juventus at Stadio Olimpico in Rome.
However, Donnarumma's agent Mino Raiola's difficult relationship with AC Milan sporting director Massimiliano Mirabelli has led to speculation he could soon leave the club.
In an interview with Italian broadcaster 'Rai', his agent revealed: "Gigio made a choice and that was to stay at Milan. I respect that. If he told me he wanted to leave though I'd start working immediately, because there are important offers. In fact, if it were up to me, Gigio should leave Milan."
Despite his tender age, Donnarumma has been tipped to succeed Italy legend Gianluigi Buffon between the sticks and has already already made 110 appearances for Milan as numerous clubs around Europe look to secure his signature in the summer.