Molineux chief Nuno is among the favourites to replace Unai Emery at Arsenal after he was sacked by the Gunners on Friday.
Nuno has guided Wolves to fifth in the Premier League and into the last 32 of the Europa League.
They drew 3-3 in Braga on Thursday to qualify from Group K and Jimenez is eager to keep hold of his in-demand boss.
"There is speculation but we are going to keep working, be the team we want to be and making him better and us better," he said.
"He is a very good manager. We all know that and we have been making good things since we got into the Premier League – and when I was not here they won the Championship – we are working well.
"He is very important for us, every meeting, every time he speaks with us it's important."
Nuno refused to discuss the links, saying it would be disrespectful to Emery, before Thursday's draw in Braga.
He won the Sky Bet Championship in 2018 and guided Wolves to seventh in their first season back in the top flight.
Record £32million buy Jimenez has been crucial to the Portuguese boss and netted his 15th goal of the season at the Estadio Municipal.
He also set up Matt Doherty and Adama Traore to give Wolves a 3-1 lead after Andre Horta's opener only for Paulinho and Fransergio to level in the second half.
Jimenez added: "It's something good for me, I scored 17 last season so at the beginning of this season I said I wanted to go over that.
"I'm three goals away and it's still not December. I hope I can keep scoring and making goals to be at the top."
Wolves host Sheffield United on Sunday having booked qualification in Europe with a game to spare.
And forward Diogo Jota hopes this season can top last term, where they also reached the FA Cup semi final.
"Last season we had a very good Premier League and made that run in the FA Cup," he said. "That was special for our fans.
"But this season we have that competition as well and we are involved in Europa League matches so who knows."