It has been claimed that the Giallorossi have already offered €11 million for the centre-back, who only arrived at the Estadio da Luz from Real Madrid last summer
The Giallorossi are looking to strengthen their defence before the start of the new Serie A season and have been heavily linked with the Argentine in recent days.
Sporting director Walter Sabatini said to have offered the player's Portuguese employers €11 million for his services, but Garay insists that there is no truth in the reports and claims he is going nowhere.
"I've always enjoyed it here, right from day one," Garay told Record. "I have no reason to leave; I'm happy. I have not asked about offers from abroad: they are just inventions [of the press] anyway."
Garay, who has been capped six times by his country, joined Benfica from Real Madrid last summer for a reported €5.5 million fee.