Speculation had linked the Mali international with a big-money move to China, following transfers for African trio Didier Drogba, Frederic Kanoute and Yakubu Aiyegbeni
Mundo Deportivo had reported that the 32-year-old midfielder was being chased by the newly-promoted Chinese club on a two-and-a-half-year deal.
The Chinese transfer window opened midway through last month and with ambitious Dalian Aerbin, who were linked with Didier Drogba and Amauri earlier this year, sitting midtable there was speculation the club could make major changes to their five-man foreign quota.
However, Li told Chinese reporters this wasn't the case and hinted the only foreign change he'd make was his Asian player, former Australia international Mile Sterjovski.
"I don't know where it (the speculation) came from. Now the club is busy with finding an Asian player. Keita? I don't know," Li said.
Dalian announced on Monday that Sterjovski would be replaced by fellow Australian Daniel Mullen.