There has been much speculation linking Arshavin with a move away from the Emirates after his poor form this season saw him drop out of the starting XI, but Wenger insists that he is perfectly happy with the Russian.
"We have had no contact [from other clubs]," he told the club's official website.
"As far as I know, I believe he and his wife are happy in London but what is very important as well is that I am very happy with him.
"I personally believe he is a great player – he is going through a period where it is more difficult at the moment. But he works very hard in training – his attitude is fantastic and I am desperate to keep him."
Russia played no part in the World Cup last summer but Wenger insists that the amount of games the midfielder has played this season may have caused his form to dip slightly.
"He has played almost every single game since the start of the season – he has played for his national team as well and he is physically a bit less fresh," the Frenchman added.
"But he will come back stronger than ever because he works very hard in training."
Arsenal face West Ham United at Upton Park on Saturday afternoon and a win against Avram Grant's strugglers would see the Gunners move within a point of league leaders Manchester United, who face Tottenham on Sunday.
And young midfielder Jack Wilshere, who was rested for the League Cup defeat to Ipswich Town on Wednesday, believes that United are fully aware that his team are on their tail.
"No matter what you say, if we play before them and get three points they are always going to be thinking we are on their tails," Wilshere told the club's official website.
"We’ve been strong in the Premier League for the last few games. We need to keep that going, get three points at West Ham and keep pushing on and trying to catch United."
Despite the Hammer's position at the bottom of the table, Wilshere knows that picking up three points at Upton Park will not be an easy task.
"We know everyone can drop points, it will be hard for us to go to the bottom club on Saturday," he added.
"They are bottom but they have got players like Scott Parker who can play for England. It shows the strength of the Premier League this year."
While Wilshere is regarded as a key component of Arsenal's future, it was a player from their recent past that Wenger also had high praise for.
Former captain and Gunners legend Thierry Henry is training with the club to build up his fitness ahead of the MLS season and Wenger is certain that the Frenchman's presence at the training ground will be a huge benefit to players like Theo Walcott."Of course Theo will benefit, from speaking with him, from getting advice," Wenger said.
"In front of goal, Thierry was somebody who was very sharp. He can give you good advice because he analysed the defenders very well.
"He knew the weakness of every defender in the back four in the first ten minutes of every game."