The fiery Scot, who is believed to have upset several players at the club during his time in charge is understood to have clashed with Shepherd over the club's transfer policy as he looks to bring in two strikers before the start of their campaign against Arsenal next week.
The pair are also rumoured to have disagreed about the positioning of Jenas in Thursday's defeat to Deportiva La Coruna in the Intertoto Cup semi final at St James' Park.
However Souness said: "I have not had a bust-up with Jenas and do not want to sell him. Why would we want to sell him? I have no problem with him.
"He has been away on England duty and what happens is the players have a few beers as a group and chat about how much they are earning.
"Not many of them tell the truth and he has come back a wee bit unsettled but it is total nonsense about having an argument and bust-up, and the same goes for the chairman and I."
Jenas last week claimed he is "living in a goldfish bowl" at Newcastle and is keen to escape the club follwoing reports that Middlesbrough, Spurs, Arsenal and Man Utd are all after his signature before the transfer window is closed.