The winger - formerly of Bournemouth - is currently on loan at the Toffees from Spanish side Villarreal until the end of the season.
Danjuma has made 17 appearances for Everton and has scored two goals, but is already being linked with a move away.
His agent revealed to talkSPORT that conversations are ongoing with Lyon regarding a potential move this month amid a lack of game time.
On Friday, a reporter asked Dyche about Danjuma's status at the club, to which the Everton boss said: "The situation is very simple, he's an Everton player, that's it.
"He's still here, he played the last game, he's got a fair chance of playing the next one. Certainly he's never been outside of our plans so he remains an Everton player.
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"So there isn't really a story, I keep getting things like quotes I've said like, 'He's not part of his plans.'
"I don't know where they come from, no one asked me so since you're asking me, he's an Everton player and he'll be part of what we do."
The reporter then alluded to an Instagram post from Danjuma of him sitting on a plane that suggested that he could be on the move.
However, Dyche hinted that it's how the 26-year-old goes to and from training at Everton.
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"I had a word with him and I said, 'It seems excessive to go from Manchester Airport to Liverpool Airport for training.'
"But you know, these modern players... personally I'd use a car, but the modern players, they need to look after themselves, get their rest."
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Danjuma has made just three Premier League starts for Everton since his arrival, although this is two more than he achieved during his loan spell at Tottenham in the second-half of last campaign.
It remains to be see if the Dutchman will leave Merseyside before the transfer window shuts, especially with Dyche's comments.
Everton face a tough test against Aston Villa on Sunday as they look to extend the gap between them and the relegation zone.