Celtic have reportedly turned down a bid of around £4million for the 23-year-old striker.
“Southampton’s valuation of the player and our valuation are some way off each other,” Celtic boss Neil Lennon told the Daily Record.
“I’ve no idea if they’ll come back in for Gary a third time, but they’ll get the same answer if they do. He’s not for sale.”
“Goalscorers are priceless. If you look at Gary’s record in his time here, he’s got a goal in every one-and-a-half games,” he added.
“He was one of the leading scorers in the Championship. When I went to see him he stood out like a sore thumb.
“I think it’s been good business and he’s enjoying life here and enjoying his football.”
