The 49-year-old tactician is currently unemployed after parting ways with Chippa United last month following a poor run of form which saw the Chilli Boys flirting with relegation on the Premier Soccer League (PSL) standings.
Sundowns are reportedly looking to bring in Moloi as head coach Pitso Mosimane's assistant with the Tshwane giants having lost Rhulani Mokwena to Pirates prior to the start of the current campaign.
However, Moloi has insisted that he has never been contacted by Sundowns.
"I talk to Pitso like my older brother, you know. We talk football, we talk everything," Moloi told SABC.
"So, I do not know where these rumours are coming from, we always talk football," the retired midfielder added.
Moloi also broke his silence about his sacking as Chippa head coach - revealing that he did not see it coming.
The trainer stated that Chippa club chairman Siviwe Mpengesi did not indicate that he could soon be fired after they had a meeting following a 4-2 home defeat to Pirates in a PSL match in February 2018.
"Funny enough, you know what; the chairman is somebody who is very understanding and a football person," the former Pirates assistant coach said.
"We kept talking about what was happening in the team. I did not anticipate it or see it coming especially after the game with Pirates. If you look at the start of the second round, we lost some of the players to other teams because Chippa survives on selling players," he continued.
"We also brought in new faces and in that 4-2 loss to Pirates we did not have some of the key players due to injuries. We spoke about it that after that match with Cape Town City that I will have a complete squad to select from soon," Moloi added.
"Watch what happened after they lost to Free State Stars in the Nedbank Cup, which you cannot blame the new coach as he was coming in. But look at them afterwards," he concluded.
Moloi was replaced by Serbian tactician Vladislav Heric, who is in his second stint as Chippa head coach.