The 26-year-old has been one of the stars of the Barclays Premier League season since moving to the Liberty Stadium from Rayo Vallecano for a bargain £2million in the summer and has hit 10 goals in 15 appearances.
"I don't want to let him go, sometimes the offer can be so big you have to accept but I really don't think clubs are going to pay so much money for him," Laudrup said. "We have the example of what Liverpool paid for Joe Allen (?15m), if they have to pay double for Michu there are few clubs who could afford that."
He added: "Joe went to Liverpool and you know more or less what they paid for him, but a guy who has scored many goals must be worth a lot more, so you work out the figures.
"I don't think anyone will come with that money so he will stay here."
The stunning 2-0 win over the Gunners last weekend was Swansea's third in their last four games and moved them up to seventh in the table, just three points off third-placed Chelsea, ahead of Saturday's meeting with Norwich.
Some Swans fans have started dreaming of European qualification, or even a Champions League spot, but Laudrup is eager to play down expectations ahead of what he expects to be a tough test against Chris Hughton's Canaries.
The Dane said: "There are other teams who will fight for that, it would not be logical for a team like Swansea to play for such places.
"That does not mean we are not happy at being at a good place in the table, but I look at the points.
"I am pleased with what we have now, but if we are sixth, eighth or 10th now it is not so important. We are 15 games in, there are 23 to go and it is still tight."