There has been reported Premier League interest in the player, with Milan the latest club being rumoured with a move for the 24-year-old.
Magnus Agnar Magnusson, however, has said that he has heard nothing from the management at the San Siro but has been in touch with a club from England.
"Nobody from AC Milan has called me and whilst I don't hear anything from the club, I am inclined to believe that is just a rumour," he told Calciomercato.com.
"We have been in touch [with an English club], but we are in no hurry to talks about any team, at this moment he only wants to think about finishing the season well with his club.
"He has the quality to emerge in one of Europe's top league - but at the moment he is being coached by Marco van Basten and that is a great opportunity for him and he is making the most of it."
Finnbogason has scored 24 goals in 28 league games for Heerenveen.