The Dane has been mentioned as being among the candidates to take over at White Hart Lane and was quoted as an 8/1 shot for the job by Sky Bet on Thursday morning.
But former Celtic midfielder Wieghorst said: "I don't think the club should be worried.
"We've seen in his time here he's been linked with a few vacant jobs and he's said: 'I'm staying'.
"Michael has always attracted interest and that's because he's doing a great job [and] because he's a great manager and because of what he's done in the game."
Former Juventus, Barcelona and Real Madrid midfielder Laudrup took charge at Swansea in June 2012 and signed a new contract in March which tied him to the Welsh club until 2015.
He has previously managed at Brondby, Getafe, Spartak Moscow and Mallorca.