Nottingham Forest are still understood to be keen on doing a deal for Sako - with several options being explored - and it has been suggested that the 25-year-old is ready to force the issue by going AWOL.
Wolves have, however, reacted angrily to the rumours - which come on the back of an announcement by the Molineux-based club in which they revealed that discussions with Forest had ended.
Moxey insists that Sako remains fully 'committed to the cause', despite having his head turned, and believes too much is being read into his absence from training on Thursday and Saturday's 3-0 victory over Colchester United.
He told Wolves' website: "To suggest he is going on strike is untrue.
"He has been professional throughout this and as good as gold and we have talked to him and his people every step of the way - everything has been completely transparent.
"While he is disappointed and we're frustrated, he remains as committed to the cause and we have the utmost respect for him.
"We hope the fans continue to give him the backing he deserves because he has not been disloyal to them or to us."
Moxey has also used his programme notes for Tuesday's Johnstone's Paint Trophy second round clash with Notts Count to explain the issue further.
He said: "Bakary Sako is a fantastic person. Bakary came to us because he wanted to play in the Premier League and was sold on the idea that we had a chance of going back to the top flight.
"He didn't expect to be playing in the third tier - no-one expected what happened - so you can understand that when we receive an approach in the way we did from Nottingham Forest, he is going to be unsettled.
"It's challenging for him when he is presented with a chance to be in the Premier League next season, something we all know we can't offer him at the moment."