Roy's not keen on taking new role at Man United
The 62-year-old Dutch coach is now the bookies' favourite to succeed sacked boss David Moyes at Old Trafford, with rumours linking the former United captain to the new regime.
"People keep asking me about other jobs but I have a job and I am very happy with my job," Keane said.
The Cork-born midfielder insisted he was loving every minute of working with Martin O'Neill and the FAI.
"It's brilliant – I feel very lucky to be working with Martin (O'Neill).
"I feel very lucky to be back in the Irish set-up. But it is a tough (Euro 2016) draw. We are learning a lot about the players and trying to bring a few young lads through."
The 42-year-old was speaking on Today FM as he launched a fundraising campaign in Cork for his favourite charity, Irish Guide Dogs for the Blind.