The player is a free agent after being released by Huddersfield, leading to rumours he could return to the club at which he spent three years.
Lee, 34, scored 41 goals in 122 games for the Millers and netted twice for a Rotherham legends side during Paul Warne's testimonial match at the weekend.
But a return to the club seems to be off the cards after Evans dismissed the rumours.
He told the club's official website: "When you are the manager of the Millers having just been promoted to League One, with aspirations of getting into the Championship, then quite rightly the supporters are going to be excited about being linked to a whole host of players.
"Alan Lee's representatives haven't expressed anything about him wanting to come here. He is a legend at this football club but as the manager I have to be honest and admit that it is not something I am looking to pursue."