The Italy shot-stopper has caught the attention of the Gunners, who are looking to bolster their goalkeeping options, but the Lazio man says he is not aware of any interest.
Marchetti, 30, has starred for the Biancocelesti since his arrival in 2011 and played a prominent role in their 2012-13 Coppa Italia success.
His form during last season has reportedly piqued the interest of Arsene Wenger, who is believed to be preparing a significant close-season outlay and could look to replace current No.1 Wojciech Szczesny.
"I don’t know anything," Marchetti told Sky Italia. "I am on holiday and I’m only thinking about relaxing. The president knows what to do."
Marchetti, whose contract with Lazio runs until 2016, has made 85 appearances for the Stadio Olimpico outfit.
The goalkeeper has nine senior caps with Italy.