The Scot has been linked with the vacant Millwall job but he has reaffirmed his commitment to the Sky Blues ahead of Saturday's FA Cup third round match against Barnsley at Oakwell.
The 40-year-old, who took charge of Coventry on March 8 last year, told his club's official website: "Those reports don't concern me because I will say to you what I have said in the past, I have absolutely no intentions of leaving this football club.
"I'm really, really happy here. I was given the opportunity to manage here and I want to build a future here.
"I am loving my time here and my family have settled into the area really well so I have absolutely no desire to leave.
"I can only stress how happy I am here and I will definitely be at this club for the foreseeable future."