Sunderland boss Steve Bruce is keen on signing the youngster, who he brought to Wigan while manager at Wigan 12 months ago.
Wigan have already rejected two bids for the midfielder.
“Sunderland are wasting their time – and I’ve told them that,” said Whelan.
“I said, ‘Don’t even bother bidding for him again’. Lee will be at Wigan this season.
“When I heard about the first bid from Sunderland, I said straight away to (general manager) John Benson, ‘He isn’t going anywhere. He’s staying here’.
“And Roberto agrees with me, so that’s it. Finished.”
Whelan added in the Wigan Evening Post: “Lee wants to stay. He’s happy here, he knows he’s making progress here, and he wants to play under Roberto. It’s out of the way as far as he’s concerned.”
