A number of clubs are understood to be keeping tabs on him, but Tottenham are the name continually linked.
Spurs boss Harry Redknapp quipped that the speculation was down to Posh's director of football trying to sell him.
But Fry insists the interest in Lewis is strong, but Peterborough have no intention of letting him leave.
"Harry and I go back 30 years so we always have a bit of this," said Fry, with a smile.
"We paid a club-record £510,000 to sign Joe [from Norwich last January] and he is on a five-and-a-half-year contract.,
"He will only get better by playing regularly with us. He is on everyone's list, everyone has had a look at him but there have been no bids. We have no interest in selling him."
Lewis, who has been included in a full England squad by coach Fabio Capello, admitted earlier this week that a move to the Premier League would be tempting.