Club chief executive Sam Rush said, according to BBC Sport: "There is no question whatsoever of him leaving.
"He is one of the highest-performing managers in English football, so he is going to be linked and admired by others. But we have had no approaches."
Importantly, Rush insists McClaren has reiterated his commitment to Derby.
"I'm aware that there is speculation about Steve at the moment but he has completely dismissed it. His future is with us," Rush said.