"I still feel like the Inter coach, I haven't been sacked," the Spaniard told Spanish radio station Onda Cero, according to Italian media.
Monday's Gazzetta dello Sport said Benitez, only in the role for six months, was being removed and that Zenit St. Petersburg coach Luciano Spalletti was favourite to take over at the world club, European and Italian champions.
Inter owner Massimo Moratti had labelled comments by Benitez after their World Club Cup win on Saturday as "inappropriate". He refused to comment on the reports on Monday.
"I am surprised at the rumours circulating in these hours. Of course, I am not happy at all with the situation," Benitez said, adding that he would return to Italy after spending a holiday break in Liverpool.
"I want to stay and to continue to win here. But I don't know what is going to happen. It's the President who has to make a decision and set the direction."
MAKE SIGNINGS
Benitez told a stunned news conference in Abu Dhabi that Inter had to make signings or he would speak to his agent about his future.
"Injuries have caused us problems and now we have to take advantage of the January market, the only chance to buy players," he said on Monday.
"I have found a very competitive group, but it is difficult to always keep the tension so high."
Inter's fifth trophy this year had appeared to have secured the Spaniard's job after a sticky domestic spell but with Inter not playing again until Serie A resumes on January 6, Moratti has time to make a decision.
"I prefer not to talk today to avoid the risk of creating controversies," Moratti told reporters.
Former Liverpool coach Benitez only took over in June after treble-winning Jose Mourinho left to join Real Madrid.
Benitez asked for new players for the start of the campaign but no signings were made and a subsequent injury crisis has contributed to champions Inter lying 13 points behind leaders AC Milan at Serie A's mid-season break.
