Recent speculation has linked the 29-goal striker with the Millers but the Blue Square Bet Premier side are keen to keep hold of their man.
Rob told the Grimsby Telegraph: "We've had no contact from Rotherham or anyone about Alan Connell. I don't think there's any chance at Rotherham with Andy.
"As far as we are concerned, Alan is contracted here and we're expecting him back in pre-season."
Rumours of a possible £65,000 swoop have been doing the rounds over the past few days.
Source: PA