Pepelu addressed the rumours after Sunday's 1-1 draw with Real Betis.
He said afterwards: "I think it's a bit insulting to my teammates when these kinds of things come out, because the manager knows we're behind him, we've shown it, and that's how it will continue to be, because he's made us much better and I'm sure he'll make us even better.
“The turning point is that the team has always been united. There hasn't even been a scratch on our heads. Since I've been here at Valencia, we've had a defining characteristic: that unity, that commitment, that giving it our all.
“We’ll have better days and worse days , but we’re all in this together, we give our all for each other, and that’s football. There might be mistakes, there might be successes, but that attitude will never go away.”