The highly rated Dutch international has been linked with a move to St Mary's by recent newspaper reports.
Reports earlier in the week indicated that Koeman was ready to swoop for the man who won the Champions League with Inter Milan, and played in the 2010 World Cup final, and is currently plying his trade in Turkey with Galatasaray.
Speaking at his pre-match press conference, the Saints boss said: "I'm interested, but I know we can't pay him. There's nothing in it."
The Saints will be looking to put a run of five consecutive defeats behind them this weekend when they take on Everton at St Mary's.
Southampton currently sit in fifth place, two points outside the Champions League places, but Koeman isn't panicking, and gave the impression that his January transfer window plans have not altered a result of their recent slump - which culminated in being knocked out of the League Cup by Sheffield United on Tuesday - and retains faith in his current players.
He added: "They're not different because we've lost five games.
"I know my players and I know how they can play football. Maybe it's about freshness and changes in the team.
"If somebody told me in pre-season that in the middle of December we'd be fifth, I'd say give me the paper and I'll sign it now."
Southampton will be without key players Graziano Pelle, Dusan Tadic and Steven Davis this weekend through injury.