The Russian Football Union (RFU) stressed Fabio Capello remains under contract with the national team.
Shakhtar Donetsk claim there has been no approach from Liverpool for in-demand midfielder Henrikh Mkhitaryan.
Tottenham are the latest club linked with the striker, who has 18 months to run on his deal and 22 goals this season.
But Norwich remain the only club to have followed up their interest with firm offers, both of which were swiftly rejected.
Lennon said: "He's our player, he has 18 months to go on his contract and he's probably in his best vein of form since he walked into the club."
"I had a chat to him a week or 10 days ago, and we've moved on from that, but I'll reiterate I don't want to sell him and the club doesn't want to sell him. We've remained pretty steadfast on that."
"We've only had two separate bids from one club, and we haven't even asked for a price. People say 'name your price' but I'm not putting a price on him."