One report on Wednesday stated Davis was being interviewed for a second time by the powers that be at the Black Country club.
It came as the Birmingham-born boss - a boyhood Wolves fan - became the bookies' odds-on favourite for the managerial vacancy at Molineux.
But, despite the heavy speculation, Davis has heard no word of any Wolves approach from Crewe chairman John Bowler.
"We have a relationship I trust and an understanding that if there were anything of interest to tell me about, the chairman would do so," Davis told the Express & Star.
"I have not heard a thing from him so I have nothing to discuss."
In his 18 months as Crewe boss, Davis has led the club to promotion via the League Two play-off final, returned to Wembley to lift the Johnstone's Paint Trophy and kept the club in League One with a commendable 13th-placed finish.
Wolves' search for a new head coach following the sacking of Dean Saunders has stepped up a gear this week with the return of chief executive Jez Moxey after a short break.