Earlier reports speculated that Big Sam was about to make a £6 million bid for the tall striker as a replacement for Roque Santa Cruz.
Zigic spent the second half of last season on loan at Racing Santander after slipping down the pecking order at Valencia.
Valencia's price tag is believed to be putting off interested clubs and Zigic's representative, Milan Calasan, admits he has not heard from Blackburn.
"Nobody has contacted me from Blackburn Rovers about Zigic," Calasan told skysports.com.
"There is a lot of interest in Zigic, 10 or 15 clubs have called me about him, but I think they have been shocked by the money wanted by Valencia.
"A top German club has made a proposal for Nikola, but he does not want to go there.
"He has always said would be interested in a move to England and if he was to go there it would have to be the right club that understands his characteristics."