The Uruguayan has been strongly linked with a move to Roma in recent months, but Zamparini has insisted that the forward is not for sale.
"Napoli? Roma? Abroad? No, Abel Hernandez remains at Palermo," Zamparini told reporters at a press conference.
"The clubs, instead of calling the club who owns him, make contact with agents or the player and it adds to the confusion. Hernandez is not for sale.
"To avoid speculation in the future, and if a club wishes to sign Hernandez, they must first talk with me and then agree a fee."
Hernandez has also been linked with a move to the Premier League.