Andy Ritche, Steve Thompson, Gary Brabin and Ian Holloway are reportedly the other four candidates for the job at Bloomfield Road.
Knill told the Bury times he had not had any contact with the Seasiders. Knill was in charge of Bury this season, leading them to the League Two play-offs.
Their push for promotion, however, was ended after a penalty shootout loss to Shrewsbury Town in their semi-final.
Blackpool were expected to hold final interviews for the position on Tuesday, and are due to announce their appointment by the end of the week.