The Germany international is being linked with a free transfer to Everton.
Baines told the Liverpool Echo: "We get linked with so many players.
"It is nice (to be linked with Klose) and I think it's a bit of fun for the fans in the summer when we get linked with all these names. But as players we tend not to get sucked into it all too much.
"We just go away, enjoy the summer, come back for pre-season and hope a few good faces do come through the door.
"We enjoy the rumours and gossip on transfers as much as anyone else but when it comes to your own club you can't buy into it as much and get too excited.
"All you can do is enjoy the summer, come back in pre-season and see what happens."