The former Real Madrid striker is continually being linked with a move away from the Veltins Arena, but the Royal Blues are unaware of a potential transfer
The Netherlands international has recently been linked with clubs including Arsenal and Inter, but Heldt has stressed that there has not been any contact with a potential winter move.
"These stories are nothing more than rumours. As of today, I have not heard anything from any club," Heldt was quoted as saying by WAZ.
Huntelaar has a contract with Schalke until the summer of 2013, but talks about a new deal have so far been unfruitful.
The prolific striker joined the Konigsblauen from AC Milan in the summer of 2010 and has since developed into a key player at the Champions League outfit.
Huntelaar was crowned Bundesliga top-scorer last term with 29 goals in 32 appearances.