The Paraguay striker has been cleared to leave Eastlands after failing to get a start in the Barclays Premier League this season.
Lazio are keen and are said to be close to an agreement with City on loan till the end of the season - for a £500,000 fee - that could be upgraded to a permanent deal for a further £2.5million.
Lazio bound? Roque Santa Cruz hasn't started a league match for City all season
However, Santa Cruz told a Paraguayan radio station: 'As far as Iknow, I am not a Lazio player and I will not accept a loan deal for sixmonths.
'I won't accept a loan and everyone who approaches my agent knowsthis. I can't leave England for six months. It would be hard for me andmy family. We are happy in England. Rome is a lovely city, but there isno need for us to move.'
The words are further encouragement for Fulham, who are also keen onthe 29-year-old, but question marks over Mark Hughes's future as bossat Craven Cottage could scupper a move.
There has also been interest from Germany, but Santa Cruz has beenconsistent in saying his preference would be to stay in England, afterfirst arriving at Blackburn from Bayern Munich in 2007.
City signed him for £18m in June 2009 and are set to take a huge financial hit on him.
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