Long has been linked with a move to the KC Stadium but his wife, who is expecting their second child, tweeted that she told her husband that a move wasn't worth the stress while he was still under contract.
"Not going anywhere! Told Shane, I'm happy here and with baby on way, it's not worth the stress when still in contract! He agreed," she said.
Hull defender Davies, who lives in East Yorkshire with his girlfriend, said: "I wouldn't have my missus telling me what to do.
"I'd say she would have to move because that is what is best for him and his family.
"This is football. What I would say to any wife or girlfriend is, 'This is what's paying the bills'.
"If this is the right move for him and this is the right contract, I'd say she would have to move because that is what is best for him and his family."
Hull manager Steve Bruce issued an apology to West Brom on Thursday following reports that the Tigers had agreed a deal to sign Long.