The 23-year-old Brazilian full-back has been attracting interest from a number of clubs in Europe after establishing himself as a regular for Mineiro.
The tough-tackling defender, who has received nearly 50 yellow cards in 142 league appearances for Mineiro, says he has not heard of Newcastle's reported interest, but admits to being flattered.
"My press adviser talked to me about that and then my agent called me. None of them knew anything about it, and neither did [Atletico Mineiro's director of football] Maluf, " he told Globo Esporte.
"But everyone knows the Premier League is one of the best leagues, it's hard, not everyone can play there, so I can only be thankful."
Rocha revealed that Mineiro president Alexandre Kalil does not want any of his top players, including star man Bernard, to leave before their Copa Libertadores campaign, which could go on until July.
"He calmed everyone down and said he won't let anybody leave, not even Bernard, before the end of Atletico Mineiro's participation in Libertadores," he said.
"So if I have to go, it will be after Libertadores."
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