The Italian coach has come under the spotlight due to the Foxes' lacklustre defence of the Premier League title.
The club upset the odds by winning their first ever top-flight trophy last season by 10 points, but they have been struggling in this campaign, winning just five of their 25 matches.
"For me, it was nothing because every week I speak with my owner and we have a very good relationship," Sky Sports News quotes Ranieri as saying. "When something goes wrong the media try to understand why.
"There was so much speculation that the chairman said, 'OK Claudio, I will tell them something and we stop all of this speculation'.
"We believe. In this moment we lack confidence but you can get confidence only if you win and play well and we're not in this case. But my dressing room is very united and I am very confident in all of my players."
The manager was speaking at the Laureus World Sports Awards in Monaco after picking up the Spirit of Sport award for the Foxes' remarkable title achievement last season.
Leicester's next game is an FA Cup fifth-round tie against Millwall this Saturday.