All three have been strongly linked with the top job at Swansea, with Zola becoming the bookmakers' favourite earlier today.
Scunthorpe boss Nigel Adkins has also been a frontrunner for the job, but the Swans chairman has confirmed that neither him or Graeme Jones have been approached.
Swansea have already been turned down in their attempts to land highly rated Exeter manager Paul Tisdale and Sheffield United's Gary Speed.
"I have no idea where the bookmakers’ favourites have come from," Jenkins told Wales Online.
"I have never spoken to anyone regarding Gianfranco Zola and I have no idea where it has come from.
"I have said that I have a lot of respect for Nigel Adkins but we have never even approached Scunthorpe about him. I haven’t spoken to Nigel either so that says enough about that one."
"I have never mentioned Graeme (Jones) as a candidate. He might be a popular choice with the players because he was part of a very successful coaching team, but that is something different.
"He is under contract with Wigan anyway so there is nothing in it as far as I am concerned."
This article first appeared on JACKARMY.net.