The Russian said players are substituted no matter how well they performed before blasting the English press and bemoaning the "stupid" loss to Birmingham in League Cup final
The 30 year-old Russian said that Wenger's "unique philosophy'" means that players are substituted regardless of how good their performance is.
"Right now I don't think about changing clubs. If I will be benched for a very long time, then such an issue might be relevant,” he told Sport Express.
“I still want to play for 90 minutes, but now I am glued to the bench. I wouldn't like to play for a Russian club other than Zenit [St Petersburg], and there were no contacts with Anzhi Makhachkala.
"I still support Barcelona. They are the best team."
Arshavin recently admitted to being an average signing for the Gunners following his arrival from Zenit in a £15 million move in 2009, despite shining initially.
He describes his manager as a stubborn individual, and believes the Frenchman will only leave when he wants to as he has the full support of the Arsenal board.
"Wenger is a very strict manager. He always gladly helps when there are difficulties off the pitch, but nobody at Arsenal even thinks to talk him into changes when it comes to football issues. The answer is obvious to everyone," he said.
"It's true that Wenger has a unique philosophy. Sometimes you know that you will be replaced at 70 minutes, regardless of how well you play. Sometimes you sit on the bench and know for sure you will enter the game at 65 minutes.
"Wenger has full support from the board. I think he will leave Arsenal only when he chooses to."
Arshavin also revealed he was furious at being substituted by the Frenchman during the League Cup final defeat to Birmingham City last season, and blasted the team for losing the match against a side who were eventually relegated to the Championship.
"When we lost in the League Cup final, I thought that you have to be real stupid guys to lose to Birmingham. I was angry when I was substituted in that game," he added.
Despite splashing out on Arshavin, who has scored 30 times in his 123 appearances for the club, Wenger is renowned for spending modestly in the transfer market in relation to the other clubs pushing for the Champions League places.
His transfer policy has led to criticisms from many quarters, but Arshavin says it is right to not spend more than you earn, although he admitted he wishes the side could still be more successful.
"Arsenal have a philosophy not to spend huge sums on new players. Ivan Gazidis recently spoke with us about it,” he said.
“He said that there are three types of clubs - those who spend their owners' money, those who are in debt, and those who only spend what they earn, like Arsenal and Bayern Munich.
“I think ours is the right way from the business point of view. However, it's tough to be competitive that way, although Bayern prove otherwise."
In recent years a number of Arsenal first-team players have left the Emirates, in particular to go to Manchester City.
Arshavin acknowledged Cesc Fabregas was right to return home to Barcelona, but he said he was disappointed to see Samir Nasri leave and that he hopes Robin van Persie does not end up doing the same.
"Gael Clichy left for Man City quietly, but Samir Nasri is another matter,” he said.
"I tried to convince him to stay with us, and I thought he would play at Arsenal for one more season, especially as Wenger wanted him.
“But then the financial aspect became important - the club didn't want to lose £25m. Nasri would have become a free agent within a year.
"I didn't try to persuade Cesc Fabregas to stay. He had to go to the team he was born to play for.
"I don't know if Van Persie's goalscoring form is related to Fabregas' transfer. Maybe it is, but it's also because he is in great physical shape.
“Wherever the ball is in the penalty area, Van Persie is there. And for the first time I'm here, he is injury-free for three months.
"Van Persie is captain because he played the most games for Arsenal, he has Wenger's full support, and he was vice-captain under Cesc. There couldn't be another choice. Hopefully, he will lead us somewhere."
Arshavin has been in the news recently due to comparisons being made with his two-match ban for Euro 2008 and Wayne Rooney’s three-match suspension, ruling him out of England's group games at Euro 2012, for kicking out at an opponent.
But he attacked the English press for trying to take his quotes out of context and said he was treated much more harshly in his home country than Rooney has been here for his misdemeanour.
"I gave interviews during my first months in England, but then refused to talk to the press. That's because I couldn't say everything I thought, and I didn't want just to repeat what other players say," he said.
“Even in the Russian press I try to speak about Arsenal as little as possible, because the English agency always translate my quotes out of context, so that it will be spicier and more ‘yellow’.
“And then I have to prove that I didn't actually say it. For example, when I said I supported Barcelona as a kid, they wrote that I only think about them and don't care about Arsenal.
“I had to talk with Wenger about it. Luckily, the club understood everything, and now they take such issues calmly.
"If English press want to ‘kill’ someone they do it. I remember that Rafa Benitez could do nothing right for Liverpool in their eyes.
“Everything he's done or said was made look to bad in the newspapers. I don't understand English very well, but even I could see it."
On Rooney, he added: "Wayne Rooney is supported in England after his suspension for a red card in Montenegro.
"When I was suspended for two games at Euro 2008 for a red card in Andorra, the Russian press were cynical and asked to prolong it: ‘Why just two games - give him three!’ That's the difference. That is our mentality".
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