The former Lions striker left the club in the summer to become player-coach of non-league Weymouth and was thought to be one of the leading contenders for the the position. But Claridge has played down a return to The Den.
"All this talk is very flattering but it's just speculation. I'm very happy at Weymouth and two good months here doesn't mean I'm ready to take charge at Millwall."
The much-travelled striker had a short spell in charge of Portsmouth but has made an encouraging start at the Wessex Stadium, guiding the Terras to the top of the table.
He added: "I've always said that ultimately I would like to manage at a higher level, but the keyword is ultimately.
"There is a time and a place to move up, but that is not at the moment."
Mark McGhee's former assistant Steve Gritt has also ruled himself out of the jobm, along with ex-Lions boss George Graham.
Gritt, who like Claridge left in the summer, believes chairman Theo Paphitis will be looking for a manager with a clean slate and no baggage.
"I know I've been mentioned and it's nice the boys feel that way" said Gritt. "The word I got when I left was they were disappointed and if that's how they feel now it's nice to hear.
"But it's not a question of me applying. There's no ill-feeling but I think the chairman is looking for somebody with a blank canvas."