The 26-year-old has been linked with a move to West Ham United alongside Jonjo Shelvey and striker Aleksander Mitrovic but the Spanish manager insists there have been no official offers and none will even be sold.
“We cannot sell players that are playing because we would need to replace them with better players and in January, it takes a lot of money to convince them to come here," Benitez was quoted as saying by Daily Star.
“So we are not thinking of selling those that are already playing. I have heard people talking about our players but we do not have any offers,” he said.
He added: “If someone would come in and could buy, then we would have extra money to go into the market but we don’t want to sell anyone who has value for our team."
Atsu was rested in Newcastle's Cup game against Luton Town.