The 28-year-old's campaign has been hit by a variety of injuries and under-par performances thus far, but Soren Lerby has quelled speculation that the Dutchman will leave Italy.
"Wesley doesn't want to go to Anzhi. I feel that these are just rumours and I don't know where they've come from," Lerby told calciomercato.com.
"At this point you should probably ask Anzhi and Guus Hiddink about it. It's the first time I've heard anything about it because Wes is very happy at Inter and has a great relationship with everyone."
Sneijder has a contract at Inter until 2015.