Rovers had been linked with a move for the 22-year-old, but Jackett has rejected that claim and revealed that the club would not welcome any interest.
The 51-year-old told the Express and Star: "He's not for sale. We've had no approach from Blackburn and I've got to be honest, we wouldn't welcome any.
"He's been in the team and there's every chance he'll make the team against Preston tomorrow. I can assure Wolves supporters that there's been no contact."
Davis has made 35 appearances for the club since first signing a senior contract at Molineux in 2009.