The 26-year-old's stock has risen significantly in recent days after the Frenchman was one of his country's best players in les Bleus 1-0 Euro 2016 final defeat by Portugal on Sunday.
Shortly after the final, talkSPORT reported that Newcastle slapped a £35 million price tag on the winger in a decision which would scare off many of his suitors - Arsenal, Tottenham Hotspur and Liverpool, according to The Standard.
Retaining a player like Sissoko would be huge for Newcastle in their efforts to win promotion back to the Premier League next term, and Benitez insists that he intends to keep him at St James's Park, whilst rubbishing the reports about his fee.
"People are talking about this price, this price – we don’t want to sell so we haven’t put any price We are happy with him," he told the club's official website, via the Shields Gazette.
"I appreciate him too much to think about that. We know he has done really well and a lot of people will be talking about him, but we’d like to see him here and that’s it."
If Sissoko does not want to be there, it will be tricky for Benitez to keep hold of him.
The likes of Arsenal and Tottenham boast serious clout -as well as Champions League qualification and, if the interest is accurate, it would be difficult for the France international to turn them down.