The Italian had been installed as one of the early favourites to succeed Owen Coyle at Bolton Wanderers, while their Lancashire neighbours Burnley are also looking to replace Eddie Howe.
But Di Canio, who has been in charge at the County Ground since the start of last season, reckons he is is only planning towards next Saturday's visit of the Iron.
“I don’t want to talk about Bolton, I am loyal to my chairman Jeremy Wray and all the people in the club," he said.
“They are all working very hard and the board gave me the chance to become a professional manager in this country.”
The Robins came back from two goals down to draw with Coventry City on Saturday, but Di Canio still reckons his side need an extra goalscorer.
That, however, is currently impossible given the club are under a Football League transfer embargo for spending more than 65 per cent of their income on players.
“We got the ball into the box 32 times and scored twice, we need a top striker if we are to stay near the top," added Di Canio.
“We have got injuries, but we sat down 16 months ago with a three year plan and if we stay in the middle of the league that is one more year."