He has impressed with the Millers this season, with impressive cup runs coupled with impressive league form to overcome the points deduction imposed on them in the summer by the Football League.
Robins recently signed a new four-year contract and Tony Stewart, the club's chairman, believes his man will stay put.
"I have a marvellous rapport with Mark and no approach has been made," he said.
"I'd be amazed at the end of the day [if he went], but business is business and I've been in business for 35 years and I'm used to any type of surprise, although I wouldn't say shock.
"I suppose it's quite flattering. In his short spell here, Mark has taken responsibility and he's a professional guy.
"He is getting a good grounding at Rotherham. No doubt he will move forward with a bigger group one day, but it's all about timing. We're all excited and know that he's looking forward, as we are as a club."
Rotherham head to Scunthorpe on Tuesday for the first leg of the northern final of the Johnstone's Paint Trophy.
The winner over two legs will go through to the Wembley final on Sunday April 5.