Former Argentina boss Jorge Sampaoli has been heavily linked with the post, with Marca reporting that on Sunday.
Sampaoli led Sevilla for almost 12 months from 2016 to 2017, while more recently he was in charge at Olympique Marseille.
Sevilla’s latest defeat leaves the club just above the drop zone with five points from seven games sitting 16th.
“I’m not thinking about any of that,” Lopetegui told reporters when asked about his job.
“I’m thinking about recovering the players mentally, helping them to balance their heads well and preparing for the match that we have to play.”
Lopetegui has been Sevilla manager since July 2019, leading the side to glory in the 2019-20 Europa League.
The Spaniard initially joined on a three-year deal and agreed to a two-year extension in January 2021.
He added: “I am down today, because I was excited, but one thing is to be down and the other is to be weak.
“We have to be calm knowing that what is going to happen between now and the end of the season depends on us.”
Sevilla are due to face Borussia Dortmund in the UEFA Champions League on Wednesday, before a home La Liga clash with Athletic Bilbao.