Roma were rumoured to have launched a surprise bid in excess of £30m for the French striker, despite Benzema's starring role in pre-season for Madrid under new coach Carlo Ancelotti.
Djaziri has been quick to insist that Benzema is happy in the Spanish capital, declaring that Roma have shown no official interest in his client.
He told Radio Mana Mana: "No, I never spoke to anyone from Roma, nor have they contacted me to start negotiations.
"It is pure fantasy. Roma are a great club, but how would it be possible for Karim to leave a club like Real Madrid?
"These are just transfer rumours. Karim is happy to play for the Blancos and will remain in Spain."
The 25-year-old has spent four seasons with Madrid, scoring 87 goals in 183 appearances for the Spanish giants since 2009.