The answer or this question is very easy.
MONEY
I don't know how much is salary with Ukraine but I think Milan can offer more. Also, Milan was when he was on his Prime Time as a player, so...
I thought the club had a financial crisis, are AC Milan capable of paying him a lot more than a NT? But tbh,why would he abandon his NT to go to a club that's on the verge of collapse? Yeah, he's a AC Milan legend, but he knows what happened to other club legends who decided to take the manager role. Milan needs an experienced manager, there's no time to gamble your money on someone with little to no experience as a head coach of a club as Shevchenko.
1. Andriy Shevchenko
2. Arsene Wenger
3. Rudi Garcia
4. Claudio Ranieri
We never know who deserves it, but it's better to give Marco Giampaolo more time to build AC Milan to be even better.
Giampaolo's plan isn't working, if they give him more time, the team's gonna cross the point of no return and will start fighting in the relegation zone. Out of the 4 managers that you mentioned, I'd say Ranieri is the best choice, but Rudi Garcia is great manager who knows how to work with young players, although, I wonder if he wants to go back to the Serie A.