Speculation has grown since current Welsh boss Steve Hansen revealed he would stand down from the job after the 2004 Six Nations tournament.
But Leeds chief executive Gary Hetherington insists Davies, who signed a new four-year contract at the start of the season, is staying in Yorkshire.
He said: "Phil is extremely flattered to be linked with the Welsh job. However, he wants to finish the job he has started at Leeds.
"Next Sunday we play our first ever game in the Heineken Cup against Neath-Swansea Ospreys, which is yet another historic landmark during Phil's time at the club.
"Phil is committed to bringing success to Leeds, and it is our vision that we will achieve that with Phil at the helm."