Batshuayi has struggled to make an impact since joining the Liga club, scoring one league goal in 11 appearances, with Valencia in the bottom half of the table.
Given a chance to start in the absence of injured striker Romelu Lukaku, Batshuayi linked up well with Chelsea star Eden Hazard.
But the 25-year-old said reports he could soon be heading back to Stamford Bridge are inaccurate.
"On my departure from Valencia, there are only rumours," Batshuayi said after Belgium extended their perfect Nations League record.
"I have no problem with the club and I understand the coach [Marcelino] very well.
"We are in a bad phase, but we will continue working to overcome the slump."
Belgium coach Roberto Martinez praised Batshuayi's impact, saying: "He moved well for the opening goal.
"I'm glad he scored twice, but he also played a good game. I was delighted with his overall performance."
Belgium will secure a place in the Nations League finals at the end of the season if they avoid defeat away to Switzerland on Sunday.