Udinese are keen on Mirko Vucinic, while Roma are chasing pair Antonio Di Natale and Vincenzo Iaquinta.
Zanzi said: “We haven’t spoken with Roma about any of the three players.
“Vucinic is a great prospect and would be someone who could interest us, but talk of a possible exchange is wide of the mark.
“Di Natale and Iaquinta are part of the national team, so it’s normal that they appeal to the Giallorossi, but there has been no contact, neither direct, nor indirect, about them.”