The 19-year-old has been in impressive form for the Danish giants this season and is currently the joint top scorer in the domestic league with 12 goals.
Arsenal, West Ham United and Inter Milan all have been linked with Cornelius, but Copenhagen stress that they will not listen to any offers.
"We are in the process of rebuilding the team and, therefore, we will not sell any key players in January," Jensen told Ekstra Bladet.
"We are not a selling club and we are not dependent on income from sales."
Cornelius too insists that he wants to continue playing for Copenhagen.
"I am not focusing on finding a new club," he said. "My plan is to stay in Copenhagen where I feel at home and will continue my development."