The 23-year-old has been linked with several clubs around Europe, including Werder Bremen, Hoffenheim, Hamburg, PSV Eindhoven and Tottenhm.
“I will look at things at the end of the season,” Wendt told Ekstra Bladet.
“Although it would be fun to move to a big league, I have it very good in Copenhagen.
“One should not underestimate how strong we are in comparison to other leagues. We have class players in every position and we always compete for the title.
“In my time at the club we have made the group stages of the Champions League once and the UEFA Cup twice.”