Sky Blues chairman Ray Ranson claims he was contacted by the London club, who appointed former Ipswich boss Jim Magilton this week.
"QPR's chairman Gianni Paladini approached us last week and asked for permission to speak to Chris and I said 'no'. I spoke to Chris and he said he wasn't interested in going anywhere," Ranson told the Coventry Telegraph.
"It just goes to show what a good manager we have got here. I said that when I first appointed Chris that our problem would be keeping hold of him.
"The interest from other clubs and speculation shows what a good job he is doing. He is a top-class manager and a good bloke."