Davis told BBC Radio Northampton: "Sometimes the January window is unsettling, if you're in the news and you're seeing moves all over the place.
"You have to adapt to it and you shouldn't get sidetracked by it. I just worry about my football."
The Cobblers are currently in the market for a striker, with bids in for three players, including Burton Albion's Shaun Harrad.
"There's a few positions we could strengthen," said Davis.
"We've got a small squad and a few of the strikers have got niggles. A striker coming in would probably strengthen the squad."
Northampton next face Gillingham in League Two, and a potential clash with their former frontman, Adebayo Akinfenfa.
"We're not going to go there fearing anyone - we're trying to get three points," he added.
"Bayo is an old friend but we're going to worry about our own game plan. He was here for a couple of years, so we know his strengths and weaknesses."
Source: BBC Sport
Source: BBC Sport