Leicester, Liverpool, Manchester United and Arsenal have all been linked with Dembele, who is also said to be a target for Bundesliga side Borussia Dortmund.
The 18 year-old Dembele has scored 12 goals in 25 Ligue 1 appearances this season for Rennes.
Dembele said he knows where his future lies, but it is not at the King Power Stadium.
"Yes I spoke with Claudio Ranieri. I told him that I am not going to Leicester," Dembele told Ouest France. "I know where I am going. I spent six wonderful years at Stade Rennais. I'm proud of what I've achieved at the club."