The 26-year-old has recently been linked with the likes of Arsenal, Liverpool, Bayern Munich and Anzhi Makhachkala.
Hernanes told Corriere dello Sport: “I don’t have any plans to move. I have also heard those rumours but there is no truth in what is being said.
“I am leaving for Brazil for 15 days and then I will return to Rome to begin pre-season training with Lazio.”
Hernanes’ current contract with Lazio is set to expire in the summer of 2015.