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Cahill insists he has heard nothing fabout a possible move away from the club.
"If there has been any interest I haven't heard anything about it, even though there have been suggestions for the past six years," said Cahill.
"It is up to me to keep trying to get Millwall into The Premiership. The rest is out of my hands.
"It was just great for me to be on the same stage as United.
"We did all right. If you are going to lose to anyone it might as well be to Manchester United."