Arsenal are in the market to bolster their backline this summer and it was recently reported they had an offer in the region of £12 million turned down by Everton for Jagielka.
The Gunners are expected to make a second approach, but Baines insists Everton's squad is unfazed by the rumours surrounding Jagielka's future at Goodison Park.
He told the Liverpool Echo: "It's not unsettling, really. In some respects, we are a club that doesn't get a lot of speculation. I'm sure there are other clubs that have a lot more going on in the rumour mill.
"Personally I don't really follow it. But it's not a surprise to me that a top club would want somebody like Phil. He is fantastic and one of the top three of four defenders the country has got.
"We as players would like to hold on to him if we can. We just have to pay not too much attention to it and not get involved with it, we just have to keep on doing our jobs."