But Hodgson insisted the club had no intention of parting with the player and added: "We have heard nothing from Manchester United and, more to the point, we don't want to hear anything from Manchester United.
"It was just one of those stories that seems to occur - it's just disappointing and annoying. Pepe is fantastic here.
"Everything he does around the club is excellent - he is always lively in the dressing room, he is always first class in training and he always wants to do more to improve.
"He demands better from those around him, he is always pushing people on. He is a player who we hold in the highest esteem."
Meanwhile, forward Dirk Kuyt is making encouraging progress in his recovery from an ankle problem and could be fit to face Chelsea on 7 November.
The Dutchman was expected to be sidelined for a month after sustaining the injury on international duty on 12 October.
"He shouldn't be as far advanced as he is with his ankle but he's looking good," said Hodgson. "I don't think he'll be fit for the weekend but maybe the weekend after."
Full-back Glen Johnson has an outside chance of returning for Sunday's trip to Bolton after missing three of the last four games with a thigh injury.
Ryan Babel took a blow to the ribs in a reserve match this week but his injury is not as serious as first feared.
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