The 24-year-old has been linked with Roma, Lazio and even Manchester United in recent weeks.
“A return to Italy for Behrami is a rumour,” Allessandro Beltrami told Itasport.
“His price tag is high – only a few teams can afford to spend 15million euros in January.
“I don’t think that, at this time, either Roma or Lazio have this economic possibility.
“Only one other team in the Premier League (Manchester City) could spend so much in this market.”
“Valon is well at West Ham and we are discussing the renewal of his contract,” he added.
“He is loved by the fans and he has a good relationship with the manager.”