After struggling to displace Aaron Wan-Bissaka at right-back, Dalot secured a loan move to Serie A giants AC Milan last year, and he has made a big impression during the Rossoneri's Europa League campaign.
United supposedly identified Dalot as one of four players who could be sold this summer to boost transfer funds, but Solskjaer has seemingly ruled out the possibility of a permanent exit for the 22-year-old.
Speaking to reporters ahead of Thursday's Europa League last-16 second leg with Milan, Solskjaer said: "The plan was always for Diogo this season, or the main thing for Diogo, was to be fit.
"He never managed to be fit for a long spell when he was here and was unfortunate with injuries. Now he's kept fit all season; he's been available for them. He's playing at a big club, big expectations and a great history, so it's been a good year for him.
"So, of course, I've been very pleased with his development this season. He's our player and we're looking forward to having him back."
Dalot has scored two goals and set up two more for Milan in all competitions this term, and he could start against his parent club once again on Thursday with Davide Calabria an injury doubt.