The England international was linked with a move to Major League Soccer side Chicago Fire.
"It's unfair for me to even comment on a player that's under contract at Manchester United, loved by the fans," the Daily Mail quotes Beckham as saying. "He's a very good player.
"That's the first time I've heard those rumours but I'm not even going to comment because he's a Manchester United player and as a [former] Manchester United player I want him to stay there."
Meanwhile, the former England captain has hinted that he may consider a switch to Paris Saint-Germain once his contract with LA Galaxy comes to an end this season.