The Barnsley boss is being linked with the post of Sir Alex Ferguson's number two if, as expected, Carlos Queiroz links up with Portugal as their new national coach.
"It is flattering to be linked with a club of such stature, but I have a job here," Davey told the official club website.
"We must be doing something right if I'm being linked with jobs like this.
"We still have a long way to go at Oakwell and we're all looking forward to the new season."