Reports suggested that Davies had been considered to take the reins at Upton Park after his side humiliated Sam Allardyce's side 5-0 in the FA Cup third round.
Davies said: "I've got a job to do at this football club and the one thing I will not do is show disrespect to the manager who currently sits in that position.
"I've got my own situation to take care of here, which is to take this football club moving forward and apart from that nothing else matters to me.
"Do I view it as a compliment? I've been linked with jobs in the past and they're always lies and it is just mischief making."