The Dane has been linked with United as a replacement for Anders Lindegaard.
"It is obviously an honour to be linked with clubs of the nature of Manchester United," said the 27-year-old, who is out of contract at the end of the season.
"I am a Leicester player at the moment. We are going for the Premier League and that is the only focus on my mind at the moment."
For breaking stories and all the great banter like us on Facebook: facebook.com/tribalfootball