The commanding centre-back has emerged as a target for both clubs on the back of his imposing World Cup displays with Holland.
The Saints are seen as his most likely suitors, with the South Coast club lining up a replacement for Dejan Lovren – who is now a Liverpool player after a £20m move.
United have also been mooted as an interested party as Louis van Gaal – who coached him in his Oranje set-up in Brazil – looks to step up his backline strengthening plans at Old Trafford.
However Lambert says that there have been no approaches and that he’s disappointed to hear that other clubs and agents are talking about his skipper:
“There’s been absolutely no enquiry. The only thing I’m disappointed about is people talking about him,” he is quoted by The Express.
“They should maybe know better.”
Vlaar, 29, has earned the nickname ‘Concrete Ron’ thanks to his rugged and domineering playing style.