The 27-year-old striker was reported on Tuesday to be undergoing a medical ahead of a £4m transfer and had said his goodbyes to his Swansea team-mates.
However, Laudrup quashed the rumours and revealed Graham would be part of Swansea's squad for the Capital One Cup semi-final first leg against Chelsea on Wednesday.
He told the South Wales Evening Post: "I haven't heard anything about anyone not being here. Danny is in our squad for the game, of course. Apart from that, I don't want to talk about transfers.
"I know it is January and you will ask me questions all through this month, but I think the game against Chelsea is so important for us that we should not talk about anything apart from Chelsea. It's a huge game for the players, for the club - for all of us."
Graham has lost his regular place in Swansea's starting line-up this season due to the outstanding form of Spanish striker Michu and it has been reported that Sunderland manager Martin O'Neill is interested in offering the former Watford striker a way out.
He could be replaced at the Liberty Stadium by Kenwyne Jones, who is reported to be on Laudrup's shortlist as he looks to vary his attacking options.