The former Rotherham United boss steered the Shakers to a fourth place finish in League Two last season, just one goal away from automatic promotion.
He saw his troops fall narrowly short in their play-off semi-final with Shrewsbury and he admits it would take a lot to tear him away from his ambitious plans at Gigg Lane.
"I have to say that it is purely speculation linking me with the Blackpool job and although it is nice to be linked with such a position, I owe a lot to Bury," Knill told skysports.com.
"They gave me the chance after I was sacked at Rotherham and you don't often get a second chance, so it would have to be an extremely good club and a very good offer on the table for me to leave this club.
"I'm not looking to leave because I have got a very good job here."
Despite suffering play-off heartache last term, Knill insists the 2008/09 campaign can still be deemed a success for his progressive side.
"At first there is obviously disappointment because we were so close to going up automatically and then the second chance in the play-offs," he added.
"We had so many chances that we didn't manage to take and it cost us, which adds to the frustration.
"However, you have to look at how far we have come since the season before when we were fighting for our lives at the bottom end of the table.
"We have come a long way and now we want to cement our position. We are battling at the top end of this division and now we have got to stay there and push on next season."