Media reports have said several senior Zenit players are unhappy after the club, bankrolled by Russian energy giant Gazprom, splashed 100 million euros on Brazil striker Hulk and Belgium midfielder Axel Witsel just before the transfer deadline.
Zenit have failed to win a game since, suffering a 2-0 home defeat by Chechen side Terek Grozny before being crushed by Spanish club Malaga 3-0 in their Champions League opener last week.
"I'm not against foreign players but there must be a balance in the team," Russia captain Denisov told the Sport-Express daily.
"Yes, the club has bought good players but do you think they are so much better than us that they should make three times as much?"
Local media said midfielder Denisov was making 3m euros a year and was asking for a 2m euro raise.
"Zenit already have great players who have won as many titles as the new guys. I would understand if we got (Lionel) Messi or (fellow Barcelona player Andres) Iniesta. They would deserve any price," he added.
"But now we are unbalanced in the team and I had tried to explain that to our management. The principles of how the club is run are the most important as well as the respect of the Russian players, especially us - the St Petersburg natives who have always made up the core of a team like Zenit.
"In no top European league will you see that foreign players get preferential treatment, just the opposite - they must be head and shoulders above the locals to make the team."
Denisov, who was made Russia captain this month by national team boss Fabio Capello, said he would try to find another club in January's transfer window if Zenit do not recall him soon.
"I want to make it clear, I love this club and I don't see myself playing anywhere else... but I wouldn't want to end my career at 28," he said.
"I have a buy-out clause in my contract which is not that big - 12m euros. One thing I can say for sure that I would never play for a club that only fights for survival."
The Russian champions, who have also dropped leading striker Alexander Kerzhakov for "improper behaviour", are angry at Denisov's actions.
"The club feels that Denisov's demands are groundless as he already is one of the best-paid players not only at Zenit but in the entire Russian league," Zenit said on their website.
"Denisov has a contract through 2015 and his salary is adequate with what players of his calibre are making at (top) European clubs."
Zenit coach Luciano Spalletti blamed "certain players who have created an unstable situation in the team".
"These players are wrong and we'll deal with them because if you don't, then the whole team would suffer," the Italian said.
Denisov is no stranger to controversy, having refused an invitation to join the national team for the Euro 2008 finals by then Russia coach Guus Hiddink after being upset at being omitted from the initial squad.