The 26-year-old has failed to make an impact at AC Milan since joining the club in a £15million deal from Real Madrid last summer.
Huntelaar has been linked with clubs such as Tottenham and Benfica in recent weeks.
“I see my name in the Italian newspapers and I don’t understand why,” he said.
“I would like to know who has said that I will be sold, because it doesn’t seem like anyone from the club has said anything.
“No other club interests me. My agent has never spoken about a transfer and I want to stay at Milan.
“I will not leave Milan until I have demonstrated my worth.”
