Spanish daily Marca broke a story that United were close to agreeing a deal with the Vicente Calderon club and much of the English media followed suit afterwards.
With various reports going as far as to speculate about the future of Wayne Rooney and Javier Hernandez as a result, Sir Alex was quick to shoot down the speculation when asked if it was genuine.
"Do you honestly believe that?" he asked the Sunday press. "Really? It does amaze me that you come up with that one."
Colombia international Falcao has continued his prolific goalscoring form in La Liga after moving from Porto in 2011. The 27-year-old had previously proved his worth at River Plate in Argentina.