Bayern, competing for three titles, have one of the smallest squads in the league with 24 players including four goalkeepers.
Croatia forward Ivica Olic has said he would like to move if his playing time does not increase after failing to reclaim a starting spot following a long injury break.
Fellow Croat Danijel Pranjic has also been unhappy with his substitute role at the Bundesliga leaders.
"We will definitely not sell any player [in the winter]," Rummenigge said on the club website. "The coach does not want it and I think he is completely right.
"With 20 outfield players we have a relatively small squad so quantity-wise we are at the lower limit. I hope we will still be in all three competitions after the winter break and so we will need a squad that is at least this size."
Bayern are five points clear at the top of the Bundesliga and lead their Champions League group. They are also in the German Cup round of 16.
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