The Nigeria international has reportedly attracted interest from Premier League newcomers Hull City and several European clubs.
Azeez joined the Lions from Reading for just over £1m in 2024 and impressed in the Championship last season.
Millwall are now understood to value him at around €20m and Neil said he is unsurprised by the growing interest.
“When the window’s open I don’t think we ever get distracted. Good players attract interest, it’s as simple as that,” Neil told NewsAtDen.
“It’s no secret that in January Femi had interest and bids made for him. Jimmy, supporting the team, the club, myself, decided he wasn’t taking any bids for any of our key players at that moment, which was great. It allowed us to then go finish third and Femi was a fundamental part of that.
“But like every player, every player’s got their price.
“What I will say is that if anybody is trying to undercut us or go cheap on it, then we don’t need to sell anybody. It puts us in a strong position in that sense.”
Neil added: “I’m surprised, honestly, that there’s not been a bit of an auction on Femi to this point. You buy goals and assists, and Femi has been as good as anybody in the last season or two at this level.
“Let’s see what the next few weeks bring.”