Baldini has been strongly linked with a role at Tottenham Hotspur, working in conjunction with manager Andre Villas-Boas.
"No one is leaving, not me nor the other directors" he told a news conference ahead of Sunday's game at home to Atalanta.
"I am here, we are here, at Roma to finish off the work which has been entrusted to us by the owner, work which is being undermined every day, however, by false rumours."
Roma's owners, led by American Thomas DiBenedetto, have a long-term plan for the team but results have not gone their way. Roma failed to qualify for European competition this season and are seventh in the league, with eight points.