Burnley have been reported to have made a £1.75million bid for the 26-year-old, who scored 14 goals last season and was voted Owls player of the year.
But a Wednesday club statement read: "Sheffield Wednesday can confirm the club has not received a formal offer from Burnley Football Club for the services of Marcus Tudgay, contrary to recent media reports.
"As a club, Sheffield Wednesday wants to build a competitive squad around players like Marcus Tudgay, with the aim of reaching the Premier League together.
"Further, Marcus recently agreed a new three-year contract with Sheffield Wednesday, which he is due to sign when the players return later this week, indicating his commitment to the club."
Source: Team_Talk