The Kenya international has been linked with Saints this week.
But Wanyama's representative, Ivan Modia, told the Daily Mail: "It is completely untrue that we are holding talks with Southampton. They were made aware some weeks ago what the player was looking for.
"At that time they were not prepared to meet that so, as far as we are concerned, discussions with Southampton ended some weeks ago.
"The player is in Kenya and has no immediate plans for a quick return. The player will not be railroaded into a move that is not right for him."