Powerful Turkey international Yilmaz has been linked with a host of clubs this summer and could be on the move before transfer deadlines pass across Europe.
He will, however, not be heading for the Italian capital.
Rome-based Lazio have no intention of making a late move for the prolific 28-year-old, with their focus at present locked on the completion of a deal for Colombian forward Brayan Perea.
Lotito told Sky Italia: "Yilmaz? We have signed a striker in Perea. He is Colombian and we haven't been able to put his contract to the league because there wasn't an extra EU place.
"Talk about Yilmaz is purely media speculation.
"On Monday we will announce another player. Yilmaz is, however, only been linked due to rumours started in Turkey.
"We have done what we want to do. First we must officially announce Perea, then we will see if he is up to the challenge. On Monday we will also announce another player.
"We have spent a lot in the market. We have signed eight players without selling any."