Allen has been linked with a £10 million move to Liverpool.
"I haven't heard anything from Liverpool," Laudrup told Wales Online. "I don't know about the agreement, but of course I will do everything to keep the best players here.
"If it comes to more then I am sure I will talk to the chairman about it, but it is a part of football.
"You have to deal with it, talk to the player and see what he wants.
"We all have our own positions, the manager, the club, the player and there are lot of things we have to look at. I want him to stay here because I think he is very important for the team, but we will have to deal with that if it becomes something more."