He told the Doncaster Star Sport: "Hull City chairman Adam Pearson is a good friend of mine and he would have told me if he was interested in Dave.
"As it turns out we were talking about the situation at Hull recently if Peter Taylor left and I know the man he wants and it is not Dave Penney.
"I can see why Dave's name has been linked to other clubs in view of his record.
"But the honest truth is that no club has ever made an approach to me while he has been in charge. That might seem strange to some people but that is the situation."
Pearson said yesterday that the man he's after is employed by another club outside of the Championship, and has previously said that he wants a youthful manager who can remain at the helm for years to come and take the club forward. Penney, 41, would have fitted that bill, but his boss seems certain it won't be him.
Potential candidates are Hibernian's Tony Mowbray and Burton Albion's Nigel Clough, but Pearson is refusing to confirm or deny any names.