The 27-year-old central defender recently returned from a lengthy injury and he since been linked with a possible to the Soweto giants.
However, Mkhwanazi is keen to stay at Wits, who are the defending PSL champions.
“Wits are a big team. If you look at all the players returning from Europe play for Wits," Mkhwanazi told Isolezwe.
"Like Steve Pienaar, Darren Keet and Daylon Claasen. I don’t want to leave the club," he added.
"This is the first time I hear of Pirates’ interest in me but I don’t want to leave Wits because I am happy here,” he concluded.
The player's agent, Paul Mitchell refuted reports linking his client with Pirates, who are said to be keen to beef up their defence.
“There is no such thing. I have never heard of this. If it was true I would have been told about it,” he said.
Mitchell disclosed that Wits are keen to extend the former University of Pretoria defender's contract with the Johannesburg-based club.
“I am meeting the Wits management next week to discuss his new contract. He still has a contract with Wits and they are interested in extending it," he concluded.
Pirates have also been linked with Wits captain and defender Thulani Hlatshwayo ahead of the January 2018 Transfer Window.