Cavani, 33, was understood to be on Ole Gunnar Solskjaer's winter target list, before he signed Odion Ighalo on loan from Shanghai Shenua.
Chelsea have also been linked with the Uruguay international, while Atletico Madrid looked intent on signing the forward in January, only for their president to deny a deal was close.
"There is absolutely nothing with the player," Enrique Cerezo told Onda Cero, as reported by AS.
"We need to score goals and we have great goalscorer, but what we are missing now is a bit of luck and we are not taking our chances.Transfers are always complicated but at the moment there is nothing."
Months later Cavani's future still remains unclear. However, according to Tuttosport, Napoli are ready to offer PSG's all-time top-scorer a three-year deal for €7m net, plus another €7m as a signing on fee in order to lure him back to Naples.