The Brazil international has suggested that Southampton and Arsenal are keen to sign him.
Diego said: "I know there is interest from Premier League clubs. I have heard Arsenal is one of them.
"It would be the ideal destination for me because their style suits my characteristics. Of course I would say yes to Arsenal.
"Southampton have great organisation and discipline and big talents like Adam Lallana. But again, there is nothing concrete."
But Pochettino insists that he is not interested in signing Diego.
He said in the Daily Echo: "Of course we know of him, as we know of any other players.
"But that piece of news doesn't make any sense, because Southampton is not interested in him.
"We have also seen this news in Spanish media, so I don't really know where these rumours come from."