The Hammers are believed to have increased their initial £2m bid for the Swede but Appleton, who was appointed at Ewood Park on 11 January, is adamant the player will not be allowed to leave on the cheap.
"Nothing is happening at the minute," said Appleton. "I was made aware of a bid that was put in before I took the reins but it is way below the value we see him at.
"Until a bid reaches the valuation we think it should be, there is not a conversation. Martin continues to be a Blackburn player.
"He is a fantastic player, an international with bags of talent, and I am looking forward to working with him."
However, Appleton does believe refreshing his current squad would benefit a club that have struggled this season and currently lie 13th in the Championship and seven points off the play-offs.
"We have a couple of weeks left," he added. "As with any football club, some players will leave, others will come in. But a few new faces will do the club a world of good.
"It will bring fresh competition, but it has to be players who will affect the starting XI, not the 18."