"No, but if I had, I wouldn't tell you," he told Goals on Sunday when quizzed about the Hornets job.
"I'm very surprised because Mazzarri is an Italian manager. The owners are Italian, I don't understand what happened but that's football."
While his next job in football remains a mystery, Ranieri says he is waiting for the right project following his success with the Foxes and that it could be anywhere in Europe.
"After winning the title with Leicester I have to do very well to choose the right next job," he added."I am a European manager and I have an agent in Spain, in France, in Italy and England so now I want to choose very well.
"For me the right project is important. Say everything clear and then it is important for me to link these things and then I go 100 per cent.
"We have to be together in everything. If I agree I give 100 per cent of myself."