Both Hessenthaler, and his club have denied any approach for the former Gillingham manager.
Hessenthaler said: "Fans aren't silly, they know if there was an approach, which there hasn't been yet, then of course I'd be interested.
"I've never made it a secret that I'd like to go back into Football League management.
"But I'm keeping focused on pre-season training with Dover and looking forward to the new season."
Dover's media relations officer Steve Parmenter confirmed there has been no contact with the Hornets.
"There has not been any sort of approach to Dover or Andy, which they wouldn't be allowed to do because he is contracted to us," he told the Watford Observer.