Reports have recently suggested that Manchester United are interested in the 19-year-old, who has impressed for Benfica B this season.
But Cavaleiro insists he is not thinking of leaving Benfica.
“My job is to earn an opportunity for the first team and this depends on the coach,” Cavaleiro told radio station Antena 1.
“There are very good strikers at Benfica and it is not easy to get into the first team.
“I have a contract until June 2018 and I feel good here.
“For me it’s a huge honour to represent Benfica because it’s the club of my heart. I want to continue here and succeed in the first team.”