The 25-year-old has been linked with a move to San Siro as a replacement for Zlatan Ibrahimovich but Llaneza quashed the rumours as nonsense.
"Rossi to Milan? This is the first I've heard of it, so what is there to say?" said Llaneza.
"It is clear that there is nothing to say in regards to this. There is nothing."
Rossi is out until March after injuring his anterior ligament in his right knee for the second time in a year.