The Gunners' manager has had no communication from the Ligue 1 side, with current coach Carlo Ancelotti under pressure despite qualifying for the last 16 of the Champions League
The Paris-based team spent lavishly in the summer transfer window to bring in stars such as Thiago Silva and Zlatan Ibrahimovic, but trail Ligue 1 leaders Lyon by two points having played a game more.
And while rumours persist that the Qatari owners are keen to replace the Italian boss with Jose Mourinho or Wenger, the Gunners' manager states the club must stick with Ancelotti.
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PSG won 4-0 against Evian on Saturday, but have lost to Nice, Rennes and Saint-Etienne since November, and only have two wins from six league games.
The Ligue 1 side qualified for the last 16 of the Champions League top of their group, but the owners of the club are looking at the likes of Mourinho and Wenger in order to turn PSG into a European powerhouse.
However, the 63-year-old stated the presence of rumours merely confirms that the club are unsettled, suggesting he is unlikely to be tempted to take over an unpredictable side: "When a club is surrounded by rumours, it's because they are not strong enough and aren't in control of things," he added.
Wenger, who famously insists he will never break a contract, is under contract with the Gunners until 2014 - but currently also under pressure himself as Arsenal have made a poor start to the season. However, a 2-0 win against West Brom on Saturday eased concerns and saw the north London side rise to sixth in the Premier League table.