United boss Sir Alex Ferguson made tentative enquiries over the 27-year-old early in the transfer window but was put off by the reported ?15million asking price, according to reports.
But Baines insists he was in the dark over United's apparent interest and does not believe the speculation held much weight.
He said: "People were asking me and yet I didn't know anything. It was getting mentioned that often that I was getting puzzled by it and yet I'd heard nothing.
"As far as I knew, there was not a great deal in it."
While Baines remains happy at Goodison Park, the defender admits his ambitious nature means a spot in Europe and silverware is on his wishlist with Everton.
He said: "I've never been one to rock the boat.
I appreciate the position I'm in in life and I love what I do.
"At the same time you do have to have that ambition because it doesn't last long and before you know it it'll be over. "The ambition for Everton is to finish as high as we can and if we can build on what we've done so far we have a chance of getting back towards European football."
Source: team talk
Source: team talk