Azmoun, dubbed Iranian Lionel Messi, played 74 minutes against Atletico Madrid in the UEFA Champions League group stage, where the Russian outfit suffered a 1-0 home defeat.
A Russian site has reported that the French club officials have negotiated with Rostov.
“I didn’t know the Olympique Marseille’s representatives were attending the match and I understood that after the game," Azmoun said.
"I am fully committed to Rostov and my only goal is to help them win the matches. I don't know what's going to happen."