Higuain moved to Milan in the summer on a loan deal, as part of the transfer that took Leonardo Bonucci back to Juventus.
But the Argentine has failed to impress at San Siro, scoring just five times in Serie A this season as his side languish in sixth place.
Reports in the Italian media suggest that Higuain is keen on a move to the Premier League with Chelsea, where he would be reunited with his former Napoli boss Maurizio Sarri.
Such a transfer would see the Blues pick up the remainder of his current loan agreement, which includes a purchase option worth €36m (£33m, $41m) that can be triggered at the end of 2018-19.
But Leonardo denies that the centre-forward has made any such request to the Rossoneri board.
"My relationship with Higuain is very direct, he has a very important role for us, and he knows it," the Brazilian explained to Sky Sport Italia .
"We have never had any doubts about Higuain; no requests from Chelsea, nor has he asked to leave."
A run of four league games without a victory has seen pressure mount on Milan coach Gennaro Gattuso, who has been tipped to leave San Siro if results do not improve.
And while denying that a possible departure has been discussed, Leonardo hinted that Saturday's meeting at home to SPAL could be decisive for Gattuso's future.
"We've never thought about changing Gattuso, there is no plan to change him but we expect the team can have a positive shock against SPAL," he added.
"No other coaches have been contacted from Milan."