Given has lost his place this season to Brad Guzan and his only appearances since August have been in the Capital One Cup ties with Manchester City and Swindon.
The former Republic of Ireland international, who still has three-and-a-half years remaining on his contract, was recently linked with a temporary move to Hull.
But Lambert is adamant he needs two quality keepers at his disposal and that the competition drives them both on.
He said: "Has there been any interest in Given? I haven't a clue. Honestly, I've not had that conversation and he hasn't said.
"I'm just happy to have two quality goalkeepers here.
"Am I tempted to send Given on loan? No, I wasn't tempted. You need the two of them to push each other.
"The fact Brad has got Shay breathing down his neck, I'm sure is driving him on."
Given started the opening two Barclays Premier League games of the campaign against West Ham and Everton.
He was then replaced by Guzan, who initially left the club in the summer before returning to sign a new three-year contract.