Saudi media reported that Ballon d'Or winner Benzema, who did not score in their first two league matches, was annoyed with the way the Portuguese coach had treated him.
Nuno was attacked by fans on social media and in the Saudi media and there were calls for his dismissal, despite him leading Al Ittihad to their first league title since 2009 last season.
"This is nonsense," Nuno said through an interpreter at his post-match press conference.
"I have a good relationship with all the players. We have a great group and we are happy to have Benzema," he added.
"He himself is happy and you can see that on the pitch. He enjoys playing for Al Ittihad."
Benzema also dispelled rumours of a row between him and teammate Abderrazak Hamdallah (32), the league's top scorer last season who scored twice, including a penalty, on Thursday.
After the penalty was awarded, Benzema handed the ball to Hamdallah to take the spot kick.