The 27-year old striker has been linked with a number of clubs recently, including Arsenal, Tottenham and Juventus, with further speculation pointing to a departure after he was left out of his side's season opener against Real Betis on the weekend.
Despite the talk, Llorente says he is happy in Bilbao and considers himself an important player for the Basque club.
"I don't know anything about the negotiations regarding me," he told Itasportpress.it. "Right now I am just thinking about my team.
"I am happy to play at Athletic Bilbao because I feel an important player and I would like to continue here."