The Brazilian was linked to United when he left Atletico Madrid and signed for Wolves two years ago.
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The 25-year-old was teased by a friend about the rumors in a video posted online.
He stated of United: "You know it's a real honour to have your name linked to Manchester United. One of the biggest clubs in the world.
"But I'm happy at Wolves. If I'm lucky, I play another good season, but the window is open, you never know."
There is no suggestion that United will move for Cunha, as the club have a very different recruitment team to the one that targeted him in the past.