The Nerazzurri's performances have improved since the 28-year-old suffered a thigh injury in September, with reports suggesting the Holland international could be persuaded to join his countryman Guus Hiddink at free-spending Dagestan outfit Anzhi after losing his place in Milan.
Rumours of Sneijder's alienation from the Inter first team were lent further weight when it was revealed the club had banned him from communicating with his fans via Twitter.
But on Wednesday his agent, Soren Lerby, moved to dispel talk of a January switch to Russia, telling calciomercato.com: "Wesley doesn't want to go to Anzhi.
"I feel that these are just rumours and I don't know where they've come from.
"At this point you should probably ask Anzhi and Guus Hiddink about it.
"It's the first time I've heard anything about it because Wes is very happy at Inter and has a great relationship with everyone."
Sneijder, who moved to the San Siro in 2009, was part of Jose Mourinho's treble winning team of 2010, supplying the assist for Diego Milito's first goal in the Champions League final.
The Dutch playmaker signed a five-year contract extension later that year - tying him to the Nerazzurri until 2015 - but since then he has been linked with moves to Manchester United and Manchester City.