Frank has been linked with the Denmark job since Kasper Hjulmand's departure.
The Dane told Sky Sports: "It is very important that I am focused on being where I am - no matter where it is, I have to try to do my job, and then maybe things will come in the future, if it has to happen or not.
"I have always said that I am very happy here. If something new is to happen, I have to look at it and make a decision. Right now I'm just happy here.
"The interesting thing is that I might have one of the best jobs in the world. I think so because the working environment is so good. It's a really good owner, it's a really good club and everything is top notch.
"Do you want to try something new in the future? Maybe, but it's not because I need to try something bigger and better - because what's better?"