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The Brazilian, 25, who scored 14 goals last term and spent six weeks out with an ankle injury, signed a five-year deal with the Reds in January.
Speaking at a news conference in Hong Kong, Klopp confirmed that Liverpool will not consider offers for Coutinho.
"I'm not surprised that any club is interested in players," he said.
"But we want to make the next step together and for this we need to stay together."
The German added: "It's not that I need it but a few people obviously see that Liverpool have a few good players. So, that's how it is.
"But, a very important message - maybe we're not a selling club."
Spanish giants Barcelona have reportedly made a bid for Coutinho, but Adam Lallana said he was confident his team-mate would remain at Anfield.
"I think we're going to achieve big things and I'm sure Phil will be part of that," he said of the player who signed from Inter Milan in 2013."
"We're a massive club, we're in the Champions League - OK, we need to qualify - but if we're going to win competitions like that and the Premier League we need to keep hold of players like Philippe."
The Reds, who finished fourth last season to earn a spot in the Champions League, face Leicester in the final of the Premier League Asia Trophy at Hong Kong Stadium on Saturday.
BBC Sport's Ian Stringer in Hong Kong
Jurgen Klopp doesn't seem like the type of chap who's easily flustered. "It's just football" he said post match on Wednesday out here in Hong Kong. He does dismissive quite well though.
When answering questions about the reported bid for Coutinho, he said he wasn't interested and that he can't affect what the media report - fair comment. He went on to say Liverpool aren't a selling club which will be music to fans' ears, I'm sure.
Jurgen and I then had a chat about butter. He started that line of discussion I might add. The heat in Hong Kong is affecting us all.
Liverpool are not "a selling club", says manager Jurgen Klopp following reports the Reds rejected a £72m bid for midfielder Philippe Coutinho.