The highly-rated goalkeeper has been linked with almost all of Europe’s big clubs, including Manchester United.
“At this moment the chances of an exit in January do not exist,” his agent Fernando Redondo said.
“To move in Spain is not possible legally, and for the foreign subject is not a possibility as the kid does not desire that now.”
Asenjo will hold talks with Real about a new contract in January.
Redondo continued: “In the first few days of 2009, we have a meeting with the club and we will look to negotiate a deal.
“But now it is necessary for calm over Sergio and avoid the big pressure on him.
“We are not looking for an imminent move and at the very least he will complete the season in Valladolid.”