"The mujahid Khaled Abu al-Abbas is still alive and well," said the statement from Al-Qaeda in the Islamic Maghreb overnight, using the name by which Belmokhtar is widely known in jihadist circles.
"The real target of the air strike was the Libyan lions," the extremist group said, referring to fighters in the strife-torn North African country.
Libya's internationally recognised government said on Sunday that Belmokhtar - who has been reported dead on several previous occasions - was killed in a US air strike.
On Monday, the Al-Qaeda-linked Ansar al-Sharia jihadist group also denied Belmokhtar had been killed in the raids.
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It said in a statement that "seven martyrs" died in the strike that targeted a farm near Ajdabiya, some 160 kilometres west of Libya's second city of Benghazi.
Belmokhtar, nicknamed variously as "The Uncatchable", "Mr Marlboro" and "The One-Eyed", is leader of the North African Al-Murabitoun militant group and a former chief AQIM.
He was previously thought to have been killed in Mali, but security sources said last year he had moved to Libya.
Libya has descended into chaos since a NATO-backed revolt unseated longtime dictator Moamer Kadhafi. It has rival governments and parliaments, with powerful militias battling for influence and a share of its oil wealth.
Jihadist groups have exploited the lawlessness, which has also prompted a huge influx of migrants trying to make the dangerous Mediterranean crossing to Europe, with hundreds dying in shipwrecks and the EU straining to respond.