"Look, I've got SuperSport directors here and I'm sure they'll be asking me that question as well," Baxter told reporters after his side beat Royal Eagles 2-1 in the Nedbank Cup last-32 on Wednesday.
"Every conversation I had with my directors is, 'I'm SuperSport coach and I don't know anything more than that'," he said.
"I hear all the talk, speculation, I hear that. And from what I know and from what I understand, there are some moves being made and what those moves entail I genuinely don't know. I honestly don't know,” Baxter said.
Bafana Bafana are still without a coach after parting ways with Shakes Mashaba in December last year.
Hugo Broos, Herve Renard, Carlos Queiroz and Ruud Krol have all been linked with the job, but the country's FA has not been able to find Mashaba's replacement.
Media reports suggested earlier this week that Baxter had been approached by Safa, but Baxter said there's no truth in the reports.
"I'm not at that sort of meeting with the officials of Safa. I know there are conversations and I want to keep myself away from that until someone tells me 'listen, Safa has made an approach to us and this is what it is', and when I know what it is, I can then give my opinion of it, but until then it seems a bit weird for me fueling more speculation. So, I'll leave it with the club," he added.
"I could tell you for an hour about national football and the attractions of it and the lack of attractions of it, but until we know exactly the position then it'll be strange of me and maybe a little bit stupid of me to comment," Baxter concluded.