The job at the npower Championship club opened up on Saturday night after Stale Solbakken's contract was terminated when a poor run of form culminated in the FA Cup loss to non-league Luton.
Bookmakers then made Saunders firm favourite to be appointed as the Black Country club's next boss.
However, Doncaster, who stand second in League One after a home win over Colchester, responded to the speculation by insisting they had not been asked to release the Welshman.
The club announced on Twitter: "Doncaster Rovers have had no official approach to speak to Dean Saunders about any managers positions."
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