The goalkeeper is thought to be the subject of a potential bid in the summer from Hoops boss Mark Hughes, who has spent time with Hennessey during his spell as Wales manager and is an admirer of the 25-year-old.
However, The Sun reports that Connor isn't willing to consider any offers for Hennessey or any other key players.
Connor said: "We will fight to keep our best players.
"Just because you go down it doesn't mean you have to lose your players."
Henessey has played 35 times for Wolves this season but will miss the rest of the season with a knee injury as they look to avoid relegation.