The Express and Star reported earlier this month that Villa had an £8 million bid turned down by Cardiff, while Fulham and Liverpool have also been credited with interest in Etheridge.
But Warnock, who according to the BBC are keen on signing the Newport County goalkeeper, Joe Day, told the broadcaster: "I've had no offers whatsoever for Neil. I've read comments that we've turned down an £8m offer from this club and that club, but I've not received any phone calls and I don't think [the Cardiff chief executive] Ken Choo has.
"We're quite happy about that. We think the squad that we've got, the goalkeepers that we've got, are very good."
According to Wales Online, Aston Villa are Etheridge's preferred destination should he be allowed to leave Cardiff this summer.
Villa are on the lookout for a new shot-stopper, despite having paid around £5 million for the Croatia international, Lovre Kalinic, in January, and the subsequent form of Jed Steer.
The Aston Villa manager, Dean Smith, and goalkeeper coach, Neil Cutler, worked with Etheridge at Walsall.
Will Aston Villa get their man this summer?
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