Reports on Thursday night suggested City were in talks with the Spanish giants over Argentina striker Higuain and his Bernabeu team-mate, midfielder Fernando Gago.
But Valdano immediately shot down that speculation by insisting that Higuain is not for sale.
He told Marca: "He is under contract for three more years and has been a key man this season, he is not transferable."
With the arrival of Jose Mourinho apparently imminent following the sacking of Manuel Pellegrini, attention is already turning to who the 'Special One' might want to sign this summer. Valdano says it's unlikely to be a striker.
He said: "We do not need more forwards, we scored 102 goals this season and Benzema didn't play much. Next season Karim is like a new signing."