Reports in Russia claim Anzhi are close to agreeing terms with Inter Milan to acquire the Dutch midfielder on a permanent transfer.
"There is no truth in those reports, they are just rumours," Sneijder's agent Soren Lerby told Gazzetta dello Sport.
"There is nothing between Anzhi and Wesley."
Inter sold Cameroon striker Samuel Eto'o last summer to Anzhi in a £18.4m transfer deal.
Sneijder, who is under contract with Inter until June 2015, scored four goals in 20 league appearances for the Nerazzurri last season.