The Frenchman has been linked with a summer switch after apparent interest from a number of clubs inside and outside of Italy.
"There is nothing new to tell," agent Alain Miglaccio told calciomercato.com. "By the end of the week I will have spoken to the player about the situation.
Menez was eyeing a move after a disappointing second half of last season once Claudio Ranieri resigned.
"He wanted to leave while Vincenzo Montella was there because he wasn't playing," added Migliaccio.
"However, things have changed with the arrival of a new Coach."