Linked to Inter previously, reports of Messi's father buying a house in Milan this week fuelled more rumours about a stunning switch to San Siro.
Inter head coach Conte was asked about Messi following the Nerazzurri's 3-0 Serie A win over Genoa on Saturday and he told reporters: "We're talking about fantasy football, situations that at the moment cannot be linked to Inter. For many reasons.
"I don't think there's a madman in the world who wouldn't want Messi. But that kind of situation really is very, very, very far from Inter, from what we are doing and what we are trying to build.
"We need to create a solid base, and then maybe... I repeat, this is fantasy football; however, I like the fact that when fantasy football is involved, the team that is linked to it is always Inter."