The 21-year-old signed non-contract terms with the Division Two leaders at the start of the season after moving on a free transfer from French Second Division side Grenoble.
The former St Etienne youth trainee impressed in a 'closed-doors' friendly against Premiership side Fulham last month and was reported to have also attracted the interest of Crystal Palace.
Speaking to planetfootball.com, Brentford communications manager Peter Gilham revealed that The New Den club had contacted The Bees about Sonko.
Gilham said: "There was an initial enquiry made by Millwall.
"But he (Sonko) is still here at Brentford."
Gilham also confirmed that West London club have not received any enquiry from Palace for Sonko.
However, should the African decide to move away from Griffin Park, he will be able to move on as he has not signed a proper contract with manager Wally Downes's side (pictured).
