Brendan Rodgers is under increasing pressure at the King Power Stadium with the Foxes bottom of the league, but Danish manager Frank, 48, has no plans to leave west London.
“It’s very simple,” he told reporters.
“I am here in Brentford and very happy.”
Brentford were sent off 3-0 by Arsenal on Sunday and Frank admitted his side were well beaten at home to only their second defeat of the campaign.
“They are the in-form team in the division with Manchester City, so we had to go 10 out of 10 to get something, and we didn’t,” he said after the game.
“They had to work very hard which shows the respect they had for us, but it’s a fair and square victory in the end and we wish them well as title contenders.”