Tau enjoyed an impressive seaosn with Mamelodi Sundowns, helping them land an eighth Absa Premiership title.
The 24-year-old has attracted from France as well as English Premier League outfit Bright and Hove Albion, according to various reports.
The Tshwane giants have responded to reports about the Bafana Bafana international being linked with a move abroad.
"Mamelodi Sundowns have stated on numerous occasions over the past 18 months that it is committed to ensuring that Percy Tau plays and pursues his career in Europe," the club said.
"We have been saddened by misrepresentations and false statements in the media concerning discussions for Percy Tau to play in Europe.
"Mamelodi Sundowns will not engage and discuss in public and with the media, the confidential negotiations that are currently underway with several interested European clubs for Percy Tau to play in Europe."