Primera Division champions Atletico were among the clubs reported to be chasing the 27-year-old, who enjoyed a stellar first season in Serie A last term and scored 20 goals in all competitions following a 10million euro (£8m) move from Real Madrid.
Reports that Callejon wanted to seek a return to the Spanish capital grew after Benitez removed the player from a training session on Sunday, but the former Chelsea and Liverpool boss has denied a rift between himself and his fellow Spaniard.
"It was very simple, he was training without intensity, but there was no problem," Benitez told a press conference.
"I wanted to bring him here, he scored 20 goals and I would have liked to have seen him called up to the Spanish team."
The coach hinted that Atletico had expressed interest in signing Callejon, but revealed Napoli had turned down their offers.
"A team made us several large offers for him but we rejected them, we don't want to sell him and there is no chance we will."
Atletico have been scouring the market for forwards this summer, with Diego Costa, David Villa and Adrian Lopez all leaving the Vicente Calderon.
So far Los Rojiblancos have brought in centre-forward Mario Mandzukic from Bayern Munich at a cost of around 20million euros (£16m) and on Monday announced they had reached a deal with Real Sociedad to sign France winger Antoine Griezmann, for a reported 30million euros (£24m).