The Dane has been linked with Manchester United today.
But Frank has responded, stating: "I am really happy where I am. It is close to being the perfect club to be in. I can see myself being here for many more years.
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"I am close to the owner, to the sports director. On everyone around the club. Brentford is a club where I really feel at home."
He also told Bold: "Immediately I think it is flattering and a recognition in relation to what I do. And I am glad that others are noticing the work we are doing in Brentford.
"Having said that, what goes on in Brentford is not a one-man show.
"I am not going to comment on the rumors that have been about me. You shouldn't believe everything that is in the 'newspaper'!"