Millwall manager
Jackett, a former Wales international, was among the names immediately linked with the role after Toshack announced his departure.
But the 48-year-old, who guided Millwall to promotion to the Championship last season, insists he will be staying at The Den for the foreseeable future.
Millwall also issued a statement saying it had 'not had, nor do they anticipate, any approach from the Welsh FA'.
Jackett told www.millwallfc.co.uk: "I understand there will always be media speculation whenever a managerial post becomes vacant and of course I am flattered to have been linked in some quarters with the Wales job.
"But, while at some time in the future the prospect of international management might be appealing, this is certainly not the right time for me.
"We have just been promoted to the Championship, it is still early days for us at this level and I am fully focused on my job here at Millwall."
Wales
Speed discussed taking life
Former Wales football manager Gary Speed "talked in terms of taking his life" to his wife, an has inquest heard.
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