The 26-year-old was spotted watching the club at Parken on Sunday, prompting suggestions that he could be poised for a move.
However, club director Anders Horsholt is quoted by Goal.com as saying: "We are not talking about that. He is in town and is an old Copenhagen boy, who during his childhood days [attended games at Parken]. He wanted to see some football, it isn't anything more than that."
The Dane is out of contract at the Emirates this summer.