The youngster has grabbed the headlines in recent weeks after his strong start to the season, with plenty of clubs in Europe already scouting him.
Dolberg has scored 11 goals in 12 games and Juventus, Manchester City and Everton are all thought to be pondering a January move.
The 19-year-old is thought to be at the top of Pep Guardiola's wishlist but Steffensen is adamant he has heard nothing from Napoli in the last few weeks.
He told reporters: "Dolberg is doing very well as centre-forward, but can be also deployed as winger.
"As of today, however, nobody from Napoli has ever called me, but I'd be happy if they would."