Reports in Italian newspapers have linked Fiorentina with a move for Mexes.
It is also being reported that Milan have first refusal on signing the defender.
“He is happy to stay in Rome, so I don’t understand these whispers,” Olivier Jouanneaux told Tuttomercatoweb.
“The club has told me nothing – how can you think of Mexes switching to another team in January?
“Furthermore, there is no agreement between Milan and Fiorentina, because the Rossoneri have no first refusal on the player. There was only an approach last summer.”