Several top sides from across Europe have been heavily linked with the Germany international of late.
Premier League giants Manchester United are reported to be among those tracking the midfielder, as they search for a suitable replacement for the retired Paul Scholes.
Bayern, though, insist Schweinsteiger is not for sale, with the 26-year-old academy product a key figure in the club's past, present and future.
Heynckes said: "Bastian Schweinsteiger is held in high regard at this club.
"A year ago he was playing on the same level as players such as Xavi and Andres Iniesta.
"He is not for sale."
Meanwhile, Heynckes has expressed his disappointment at missing out on Juventus-bound Arturo Vidal, a man he worked with at former employers Bayer Leverkusen.
He said: "I am absolutely disappointed because Arturo told me he wanted to join me at Bayern Munich.
"I am, however, understanding of his situation and his desire to take on the challenge that is ahead of him at Juventus. They are a top club in Europe."