However, he has not ruled out the possibility of departures should the club receive significant offers from a country not restricted by the January 31 deadline.
Russia, where the deadline is not until February 24, would seem the most obvious destination should any of Los Nervionenses squad be on their way out, but Del Nido was keen to stress that Thursday's Copa del Rey semi-final first leg against Atletico Madrid was always the club's priority this week.
He told Marca: "In the last few days of the national market, not the international, there were concrete offers for seven Sevilla players.
"With 24 hours to go before the close of the market we decided to not listen to offers that would dismantle the team.
"We are not negotiating with anyone right now but we don't know whether the current squad is the one that will finish the championship.
"From when the train left for Madrid, we were clear that no-one that was on the trip was still in the market."
On the field Sevilla managed their first La Liga win under new coach Unai Emery on Monday night, 3-0 at home against Granada.
And the former Valencia boss is expected to stick largely with the same side that started that game and the 2-1 midweek defeat to Atletico, with long-term absentees Piotr Trochowski and Diego Perotti the only players ruled out through injury.
Sunday's opponents Rayo Vallecano, meanwhile, remarkably moved to within a point of the Champions League places with a convincing 3-0 win over Real Betis last time out, and coach Paco Jemez believes their trip to the Ramon Sanchez Pizjuan will give him an insight into just how far his side can go this season.
He told Marca: "I expect the best Sevilla because in the situation that they are in they can't let many points slip away.
"We are going to find a spectacular stadium that is always on top of you. There, I want to see what we have the makings of doing, to demonstrate what our definitive goals will be and if we are capable of competing.
"They may come into the game a little bit tired from the cup match and we need to be able to take advantage of this. If we want to have any chance we need to make them play at a high tempo, make them run and ensure they are not comfortable on the ball.
"For this we need to have a good afternoon because, despite what the table says, Sevilla are one of the best teams in Spain."
The Madrid side could be boosted by the return of Leo Baptistao after two weeks out with a hamstring injury but top scorer Piti is suspended.