Saints boss George Burley rejected a bid of £2.5million from Fulham for the defender describing the offer as "derisory and ridiculous."
Burley insists the 25-year-old, who has two years left on his current deal, is going nowhere.
Sanchez knows Baird well from their Northern Ireland days but admits he will not be held to ransom by the Championship club.
He told the Daily Star: "Of course I'm interested in certain players, but some prices quoted come on to our radar, while some are too much. We'll move on with other players."