The Scot announced his retirement on Wednesday and rumours quickly surfaced that the striker had asked for a transfer two weeks previously.
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"I don't think Wayne was keen to play simply because he's asked for a transfer," he said. "I think he wants to think things through in his mind; I think that's a good idea.
"We're not going to let him go. I think he's maybe a bit frustrated that he's been taken off once or twice in the last few weeks."
And speaking to the BBC, he added: "We've refused [the transfer request] - he needs to go away and think about it."
Rooney was left out of the Champions League last 16 second-leg clash with Real Madrid, sparking rumours that he would be sold at the end of the season.
United, however, are keen to keep hold of the 27-year-old and were planning on offering him a new contract.
Sections of the Old Trafford support booed Rooney when he collected his Premier League winner's medal.