The German guided the Bees to ninth in League One last season and has emerged as a contender to succeed Dougie Freedman in the Selhurst Park hotseat.
However, the former Manchester City striker has moved to stamp out reports linking him with an exit from Brentford, denying all knowledge of an approach from Palace.
"This is the first I have heard about me being linked with the job," Rosler told the Croydon Guardian.
"All I can say is that I have had no contact from Crystal Palace and I am focused entirely on our FA Cup game this weekend. I am very happy here at Brentford and I want us to progress in the FA Cup."
Blackpool boss Ian Holloway is said to be the frontrunner for the Palace job, with reports suggesting an approach has already been made.