Reports claim that the Swede has threatened to dump the country just days from the Super Falcons opener against South Africa at the Cape Coast Stadium over alleged unpaid eight-month salaries.
The 59-year-old, who was appointed by the Nigeria Football Federation in January, replaced erstwhile interim gaffer Florence Omagbemi, who was not retained after her African title success in 2016.
With days to Ghana 2018, the former Sweden coach, who is currently in Abidjan for an eight-day final camping, was shocked at the claims but has reiterated his desire to lead the team to glory.
"I am in shock over the news that I have resigned my position as the coach of the team [Super Falcons]," Dennerby told Goal.
"I heard about the rumour too and was surprised because I never made such a decision. I am busy here [in Abidjan] with the team's preparations and at no point spoke to anyone about resigning.
"I never threatened to quit the team and do not have such plans on my mind. At the moment, we need maximum concentration for our preparations and any distraction now will do us no good."
Dennerby will be hoping to help Nigeria successfully defend their title and as well qualify for next year's Fifa Women's World Cup in France.