The 50-year-old, who has guided Wednesday into seventh place in the Championship table after taking over in June, says he is happy at Hillsborough.
Carvalhal told Sky Sports News HQ on Wednesday: "Probably next week can come another rumour or before then can come another rumour and I will not be all the time talking about something that is a rumour - just this.
"I talked with my agent this morning and he didn't say anything about that situation. We talked about a different situation but he didn't mention about this."
He also insisted he is unaware of any approach from the Premier League club to his agent.
"I don't know," he said. "If something happened or will happen, not today after one year or two years, all these kind of things all the time it's my agent that must care about that. So I talk with him this morning and he didn't mention anything, but we talk about different things, so I can say absolutely nothing.
"As you understand I can't talk about the rumours. Rumours are fantasy. I must talk about the reality and my reality is I am very happy what I am doing."