Sherwood, who watched Sunday's 4-0 loss from the directors' box, is said to have kept his players behind in the dressing room for an hour after the match.
Rumours began to circulate on Twitter claiming that the 45-year-old's job was in doubt after he allegedly became involved in a physical altercation with a player.
In response to the rumours, Soldado posted a message on Instagram last night saying: "Bad game today and our options to reach Champions League decrease! It is time now, more than ever, to fight together. Rumors do not benefit at all, and everything that has been said is absolutely fals, COYS!"
Teammate Aaron Lennon also took to Twitter to reject the speculation surrounding Sherwood.