Cox has been linked with Reading since the loan market opened.
"At the moment he is not going anywhere," Di Matteo told the WBA website.
"I spoke to Simon at the start of the season and said 'let's see how the first three months of the season go and then we'll review it'.
"At the moment he is certainly not on the list as one of the players to go out on loan.
"Towards the end of October we'll have another look and review it."