The Magpies are understood to have returned with a £4.5million offer for the Scotland defender on Friday.
But the Championship club rejected the bid, having previously turned down an offer of £3.5million.
Lancashire Telegraph reporter Paul Wheelock, who has been following Rovers on their pre-season trip to Austria, then tweeted that he'd spoken to Coyle about Hanley.
Wheelock quoted Coyle as saying: "I don’t want to sell Grant. Can’t stop clubs enquiring about your players. In my opinion they’re nowhere the valuation of Grant."
Hanley sat out Blackburn's 1-0 win over SV Ried with a knee injury, as former Sunderland striker Danny Graham got the only goal.
Coyle added: “We had one or two niggles. Danny Guthrie felt his groin in the warm-up and the skipper (Grant Hanley) hurt his knee on Friday. We were never going to take any chances with both of those lads.