Van Aanholt is one of just four players to have scored for the Black Cats in the Premier League this season, with his three goals putting him behind only Jermain Defoe in the club's scoring charts.
That form has led Palace to lodge a bid for the Dutchman, a move which would see Van Aanholt reunite with former Sunderland boss Sam Allardyce at Selhurst Park.
However, Moyes insists that his best players are not for sale and confirmed that they had rejected the bid, which is thought to be in the region of £7m.
"I want to keep all my good players and build. Van Aanholt is a really important player for us. He's done very well," he told reporters.
Van Aanholt joined Sunderland from Chelsea in 2014 and has since gone on to make almost 100 appearances for the Black Cats.