Schmeichel has impressed in goal for Leicester this season and was part of the side which was knocked out of the Championship play-offs by Watford at the semi-final stage.
Speaking to Sporten.dk. Schmeichel said: "The Premier League is of course the goal for everyone, but right now it's just rumours.
"I am a Leicester player and still trying to get over what happened. I can wait, I am still young and it is nothing I am thinking about."
Schmeichel joined Leicester in 2011 from Leeds United.