The Kenya midfielder rejected a report that emerged earlier on Thursday that included quotes attributed to him claiming that Arsenal boss Arsene Wenger is keen to sign him.
Koeman has responded to the latest transfer rumours regarding one of his players by sitting down with his squad and calling for concentration levels to be high as Southampton chase a top-six finish in the Premier League.
"We had a meeting with all the players because what we need is now to have the focus on the last five games we play, a European position [is] on the table," said Koeman as he faced the media ahead of this weekend's game with Tottenham, which pits sixth versus seventh.
"We have a massive game this Saturday and no interest in rumours, in talking in press about future, about contracts, to have the focus on the football side.
"I've spoken to Victor. He says it's not true what they put in the press and I believe the player.
"But it's a good signal for everybody that we have to be focussed to the football side and not about the future, about contracts."
That Southampton are challenging for a Europa League place is huge credit to the rebuilding job that Koeman has overseen after a close-season that saw manager Mauricio Pochettino join Tottenham and a raft of key players follow him out of St Mary's Stadium.
While Koeman is understandably keen to keep avoid another talent exodus, the Dutchman is pragmatic about the likes of Wanyama being tipped to leave.
He said: "If you're doing well like we do then there is always interest in players. But still all the players have contracts for next season and until now there is no serious bid for the players.
"We will see what happens. We don't have the pressure to sell players."
