The French star has refused "any discussion with the representatives of the Al-Hilal club, present in Paris this Wednesday," reported L'Equipe sports daily.
According to the report, a delegation from the Saudi club came to Paris to finalise the transfer of Brazilian Malcom from Zenit Saint Petersburg.
They also wanted to present their project to Mbappe while in the French capital.
"This approach will not succeed," added L'Equipe because the entourage of the 24-year-old player "refused any discussions with the representatives of the Saudi club".
"The captain of Les Bleus has never considered this option," the report added.
Riyadh-based Al Hilal had been given permission to open talks with Mbappe despite him never having expressed an interest in moving to the fast-growing Saudi league.
Mbappe has one year left on his contract with PSG, who want him to leave now rather than for nothing next summer.
But Mbappe is refusing to sign a new contract and the French champions believe he has already struck a deal to move to Real Madrid next year.
