Dobbie has been linked with a loan move away from Swansea following a lack of first-team action this season.
“I don’t want to go out on loan,” Dobbie told the South Wales Evening Post.
“I have worked all my career to get to the Premier League, so now that I am here I am not going to give it up without a fight.
“I hadn’t heard anything about Millwall being interested and I don’t know anything about it.
“But it’s nothing for me anyway. I am just working hard in training and doing my best in the reserve games to try to get back into the team.”
Dobbbie added: “I haven’t played as much as I would have liked so far this season, especially coming off the back of a good season last year.
“But the boys have been playing well, and the gaffer has brought in a couple more quality players in my position now we are in the top division.
“I want to kick on, but I just have to bide my time. I need to keep working hard like I did last year and I am sure my chance will come.”
