The Owls sit just outside the play-off places after a strong start to the season.
The Portuguese has been linked with the job at the Liberty Stadium following Garry Monk's departure earlier in the month, and Carvalhal failed to confirm whether or not he was interested in the post at the south Wales club.
"These are rumours. I can’t talk about rumours. I will never do that. Rumours are like fantasy. I must talk about the reality and my reality is I am very happy what I am doing," he told the Star.
It's not a surprise that the Owls boss is attracting interest from the Premier League. Despite developing a reputation as something of a journeyman boss during his managerial career, Carvalhal has been impressive since joining Wednesday in the summer.
Despite a relatively slow start, the club have moved themselves right into contention for a place for in the Championship play-off positions. Going into their Boxing Day fixture with eighth place Birmingham, the Owls sit one place above the Blues, and just one point behind sixth place Ipswich Town.
And the Wednesday hierarchy will certainly be hoping that Carvalhal sticks around to finish what he has begun, by taking the club into the top six.