The Danish coach spoke about the fact that becoming the manager of a big club would not necessarily make him happier.
Frank is being linked to big jobs this season, including Manchester United and Manchester City.
Speaking on the Sports Agents podcast, external, Frank said: "I am probably at one of the best clubs in the world. End of discussion.
"In terms of alignment, leadership, culture, everything. Why should I ever leave this place?
"Things can happen and you can want new inspiration, maybe you find another inspiration at your club and you stay.
"For sure, if I ever got the offer to go to a big club and I decided to go there, it would probably not make my life better. I think we all know that.
"Maybe it is a challenge you need to try. It is not something I am thinking about."