The Cumbria-born Holt joined joining the League Two promotion-chasers from Nottingham Forest for a club-record £170,000 last summer.
Holt, 27, has already scored 20 goals this season, including five in a 7-0 Johnstone's Paint Trophy win at Wycombe in the autumn.
But Shrews boss Paul Simpson has played down any interest in his star player, insisting Leeds' interest is purely speculation.
The ex-Carlisle United boss said: "I haven't heard anything official about Leeds' interest. It was something that was coming up before Gary McAllister was sacked and has continued with the new manager. I know nothing about these rumours. All I can say is that I've heard no official word."