Reja tried to quit after a 5-1 loss at Palermo at the weekend despite his team having had a decent season so far.
“Reja handed in his resignation at 14:00 today, but the club rejected it, so nothing has changed”, said Lazio spokesman Stefano Di Martino.
“When we return to Rome, everyone can come to their own conclusions. We have made this announcement early to clarify matters for the fans.”