Reports in national newspapers earlier this month suggested Liverpool were planning to move for Gross, Brighton's player of the season last year.
Speaking to Sky Sports News, the German midfielder was not drawn on the rumours and said: "It's not something bad when you get linked to a club like this but to be honest I don't know anything about it.
"My friend sent me a message showing me some quotes about it. It's something that shows me I'm doing a good job."
Gross also spoke about his former Ingolstadt manager Ralph Hasenhüttl taking the manager's role at Southampton.
He said: "He spoke to me when he was thinking about moving to the Premier League. It's a very good step for him.
"He showed all his quality in Germany and had success in Germany.
"It's a good next step in his career. He's a different manager of course but quite similar to Klopp. He's a very good human, a very good manager and wants to play high intensity football and wants to get everybody involved, the crowd and the people.
"He wants to affect the whole club and doesn't just care about the players, he cares about all the people."
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