Schalke sporting director
Russian champions Zenit is reported to have made a
He told www.kicker.de: "They have made an offer and are being very persistent but we do not want to lose the player."
Heldt was speaking after Schalke opened its Bundesliga campaign with a 2-2 draw at Hannover on Sunday.
Having overturned a 1-0 deficit to lead 2-1 with 10 minutes to go, the visitors were frustrated not to have taken all three points.
Midfielder Lewis Holtby, who grabbed Schalke's second goal after Klaas Jan Huntelaar had cancelled out Felipe's opener, said: "I am disappointed.
"We were clearly the better team and controlled the game, making plenty of opportunities. But we conceded two stupid goals."
"I am very happy with one point as it is a point gained," he told the club's official website.
"Schalke were very dominant in the second half and I am pleased we hit back after the setback of going behind."
Fortuna Dusseldorf was relegated from the Bundesliga as Hoffenheim and Augsburg staged final-day escape acts.