Local radio reports suggested a deal had been struck with Chelsea over the striker.
"We don't want to sell Cavani and we have no intention of doing that," the Spaniard told Radio Marca on Tuesday.
"The President and I want to keep him, he's a really important player and we are hoping that he'll continue scoring a lot of goals for us.
"Saying that, obviously there is that clause in his contract and if he does leave then it will only be for that amount.
"Who wants the boy will have to pay for him even if we don't need the money.
"Our intention is that he stays here because we want to strengthen the squad in order to make it more important."