The Portuguese was sacked last month as manager of Manchester United.
He said: "I have never been into the game of feeding news stories, but I have no intention of working in Portugal.
"I don't really want to go there but the best way to respect a great club [Benfica] and a great president is to say that I was not approached.
"It's a tremendous honour when you return to a club where you've been, but I'm talking to you and I will not talk to anyone else.
"I'm not training, I love that I am no longer talked about all the time and the best way to ensure that will remain the case is for me to not talk either.
"I want to able to think and prepare for the next step."