It was believed the newly-promoted Foxes had offered £1.5million for the former Scunthorpe United marksman.
Keogh recently committed his long-term future to the club after extending his contract in February until 2012.
Wolves chief executive Jez Moxey has played down talk Keogh could leave, stating no bid has been made.
"It's nonsense - there has been no bid for Andy Keogh," Moxey told the Express and Star.
Premier League new boys Wolves currently have five strikers on their books - with Keogh, Sylvan Ebanks-Blake, Kevin Doyle, Chris Iwelumo and Sam Vokes all battling it out to start against West Ham on the opening day.
Meanwhile, Leicester chairman Milan Mandaric has confirmed the club will again look to utilise the loan market this summer in a bid to bring in young Premier League players on season-long
"We can have five loan players and it is a tremendous opportunity for us to take advantage of the system," Mandaric told the Leicester Mercury.
"We are working on a few things, including one from last year."