Keegan insisted: "There is no way we will sell Nicolas for a quarter of his value.
"We are playing Manchester United in less than two weeks' time now and you can predict every time there is a game like that, there will be these sorts of stories cropping up.
"Maybe we should put one out that we are trying to get Paul Scholes, although I don't think anyone would believe it. People should just take it with a pinch of salt."
Anelkas is City's top scorer this season though he has notched just one in the last seven games.