The odds on the 44-year-old taking over at Coventry City continued to fall yesterday, getting as short as 1-3 with one bookmaker.
United had not received an official approach from the npower League One club when contacted last night, and Lenagan, who met Wilder yesterday morning, described the speculation as “bookies’ rumours”.
The U’s chief said he was hopeful nothing changes, but stopped short of warning Coventry off making an advance.
He said: “Chris Wilder is a very good manager and I don’t want to lose him.
“I think it’s a great compliment for Oxford and Chris and the quality of football we are playing.”
He added: “I have not been approached by Coventry City and Chris Wilder has not been approached by anybody.
“So at the current moment there’s no substance in the rumours, but obviously that can change from day-to-day.”
Wilder did not want to add to his earlier comments on the speculation, which he regarded as a “compliment”.
He stressed it had not deflected his attention away from building towards the clash with Swindon Town in the Johnstone’s Paint Trophy tomorrow night.
“Of course, I’m as focused on Wednesday as I was on Saturday (at York City), you prepare the side and they have to go out and do the club proud,” he said.
The attitude was echoed by striker Tom Craddock, who does not believe the attention will distract the players ahead of the derby.
He said: “We’ve got a good gaffer and if people are going to speculate, let them, but as players we’ve just got to get on with our job.
“At the end of the day we work for the football club and we’ve got to go out and do our best.”
Coventry City reportedly receiv-ed 40 applications to replace Andy Thorn. The Sky Blues, who host Burton Albion tonight, declined to comment on when interviews are expected to take place.