He told Spanish daily Marca, "I know the club has financial problems but I have no intention of leaving. Nobody has asked me and I don’t want to leave."
Pennant also denied rumours that he or his agent had received any offers from Premier League teams.
Pennant admitted that while Zaragoza face a real dog-fight at the bottom of La Liga, he is confident his team are good enough to play their way out of trouble.
"We are here to show we are a good team, there are still matches left and if we can push on with the home games I think we can survive," he said.