The Oswestry-based club appears on a winding-up list due to be heard at the High Court in London on Monday.
But Saints, who also won the Welsh Cup and Word Cup during the 2014-15 season, say they know nothing about the order.
"Nobody at the club has been made aware of this and are shocked by such news," the club said in a statement.
"A further statement will be released once more information is forthcoming."
Nine times Welsh champions Saints are top of the Welsh Premier League.
The only full-time side in the Welsh Premier League face Denbigh Town in the Word Cup final on Saturday at Llandudno's Maesdu Park.
Welsh Premier League champions The New Saints have been issued with a winding-up order.