The Owls rejected the approach for Laws, who has led his side to a six-game unbeaten run after a difficult start to the season.
"When another club want to speak to you it's obviously because they think you're doing something right, so in that respect Burnley's approach is flattering," Laws told PA Sport.
"It gives you confidence and is a nice feeling - because not so long ago we were struggling here.
"But I know what I'm doing is right. Sheffield Wednesday have said no to Burnley, so that's the end of it.
"I'm committed to this club and certainly don't see my future anywhere else at the moment.
"What does concern me, though, are the horrendous statistics on managers in the Football League.
"Burnley's approach for me means there has been yet another casualty and the fact Aidy Boothroyd is the longest-serving manager in the Championship with not even three years yet at Watford is just ridiculous."