The outspoken coach has been lauded for his work in Spain with Rayo, who have one of the smallest budgets in La Liga.
Barcelona have been linked with a move for the Spaniard in recent months due to the uncertainty of Gerardo Martino's future, but the 44-year-old has insisted that his focus is firmly on Rayo.
"I can only say that it's a privilege for my name to be linked, but I have to say, all five of my senses are focused on Rayo, which is my responsibility," Inside Spanish Football quotes Jemez as saying.
"I still have another year on my contract here."
Jemez has been in charge of the capital outfit since 2012.