The 27-year-old has three years left on his current contract with the Toffees but he has been linked with a move to Old Trafford for a figure rumoured to be around £17 million.
And the England international has refused to rule out a move away from Everton, instead lamenting the continued rumours.
“I've been aware of what's been said in the press but I don't know much beyond that,” Baines told reporters.
“It doesn't do any harm [to be linked] but it doesn't do any good either.
“It's just one of those things that tends to swing around this time of year. People put two and two together sometimes they get four and sometimes they get three or five.
“It gets other people more excited than those involved.”
Baines is not the only key Evertonian being linked with a move away, with Marouane Fellaini also often mooted, and the full-back admitted that manager David Moyes has his work cut out every transfer window to keep hold of his best players.
“Obviously over the years the manager has lost players that I am sure he would have liked to have kept hold of,” he continued.
“Whether the club has needed the money or whether it's because they have received what they consider is a considerable bid for a player they have always done good business.
“The manager has done well in bringing people in at a certain amount and when they have moved on he has tended to double his money or more.
“The club have always been quite savvy in that sense. It has never really hindered us and it's never seen us getting any worse.
“But maybe it would be nice to see us hang on to those players and add a couple.”