The Ghanaian has been in impressive form since joining the Magpies on loan from Chelsea in August, having netted three times in 16 Championship appearances thus far.
He is one of three Newcastle players expected to play at the Africa Cup of Nations, which starts on Saturday, the other two being Senegal's Mohamed Diame and Chancel Mbemba of DR Congo.
“No chance,” Benitez replied, as reported by the Newcastle Chronicle, when asked if Atsu could leave this month.
“I am in contact with the three players in Africa, and especially Atsu.
“I will tell you now that he is really pleased and really happy here.
“We have the player on loan with an option [to buy].
“Nothing has changed; the player is happy, we have the control and a very good relationship with Chelsea.
“So everything is fine.”
Atsu had loan stints with the likes of Everton, Bournemouth, Malaga in Spain as well as Vitesse Arnhem in the Netherlands.
He was also on the books of Porto and Rio Ave in Portugal.