Lewandowski is said to have severed ties with Cezary Kucharski, previously his agent for 10 years, in favour of Pini Zahavi, regarded as one of the football world's leading representatives.
Zahavi played a role in Neymar's world-record €222 million switch from Barcelona to Paris Saint-Germain in August and there have been suggestions Lewandowski's decision has been made with a view to securing a big move to Spain.
Heynckes is not worried about such a scenario, however, and is adamant Bayern are not a selling club.
When it was put to Heynckes that Lewandowski's decision could be to secure a transfer, the coach said: "Well, that's your interpretation.
"I think there's nothing wrong with a player changing his agent. I can't judge the reasons.
"It doesn't mean anything at all for us, given the way I know the officials here at Bayern and what I've heard from them.
"Bayern is not a club that sells the top players. Top players at Bayern stay at Bayern. I can't imagine there's a chance of him leaving Bayern."