The 22-year-old striker was linked with Crystal Palace and Wolverhampton Wanderers during the summer transfer window, but a deal failed to materialise.
Despite falling down the pecking order at the King Power Stadium following the arrival of Leonardo Ulloa, Pearson is not willing to let the New Zealand international go.
"I have been told there's been a suggestion generated elsewhere, but not as far as I am concerned," he is quoted as saying by the Leicester Mercury. "Why would I loan a player out?"
Wood has scored one goal in three games for Leicester so far this season.