The 20-year-old has been linked with the likes of Manchester United, Tottenham and Real Madrid after catching the eye with Netherlands during the FIFA World Cup.
Depay has scored twice in four appearances, three of which were as a substitute, in his first World Cup and will be hoping to get the chance to add to that tally in Wednesday's semi-final against Argentina.
PSV coach Cocu has revealed that the Eredivisie club have not received any bids for the talented youngster and the former Netherlands midfielder believes it would benefit his development to stay at the Philips Stadion.
He told Voetbal International: "No one has contacted us and he has a contract [until 2017] here so we should not get ahead of ourselves.
"I let Memphis know that it would good for him to have another year here.
"He has only one full season behind him. I think you need a certain foundation before making the next step.
"That is independent of the qualities that a person has. Therefore, he must stay at PSV at least one more year.
"There is no concrete interest so I'm assuming he will report for pre-season training later."
