McCoist has been linked with the Selhurst Park post but, speaking after Rangers had cruised to a 4-1 Scottish Championship win over Dumbarton, the manager said he was focused on his current job.
"There has been no contact at all with Crystal Palace," he said.
"As you can imagine, I have a serious amount of work to do here, and anyone who knows me will appreciate it is important to see it through.
"The most immediate job is to get us out of this division. I'm desperate to do that as quickly as possible, and my short and long-term job is to do that.
"It is flattering, and maybe Rangers' story coming through the divisions catches the attention, but I'm desperately keen to get the job here completed."
Rangers looked lively going forward against Dumbarton as they took their tally to 12 goals in their pair of home victories this week.
And McCoist added: "I'm absolutely happy with the performance, although a little bit annoyed we didn't keep a clean sheet.
"We played good football and could have scored a few more. We hit the post twice.
"We are really pleased with the goals. If you are getting goals from throughout the team it is really pleasing, and losing the goal is really a bit of a moan."
Dumbarton boss Ian Murray watched his side lose their third game in a row and the former Rangers defender was disappointed with the goals they conceded.
"The goals are shockers, especially the first one from a set-play." he said.
"I said to the players at half-time that it was only 2-0 and we could maybe have a chance with the next goal.
“But we lose another on the break and then, when it goes to 4-0, you get a bit worried.
“Although we had a bit of luck with our goal (a Bilel Mohsni own goal), I thought we deserved something from the game."
Mohsni could have been sent off early in the second half for tripping Scott Agnew but he only received a yellow card.
Murray said: “My initial reaction was that Agnew was through and Mohsni was the last man, but I don't want to see players sent off and maybe the ref has called it right.”