Goal understands the former Manchester City forward's agent has held talks with the French coach, but the 64-year-old has publicly downplayed his interest in the AC Milan star.
The Italy international is expected to leave Milan this summer, with director Barbara Berlusconi going as far as to describe the striker as "not irreplaceable" on Saturday.
Raiola was quoted recently on the possibility of a move to the Emirates Stadium too, with the agent declaring: "Arsenal are a fantastic club. Only eight or 10 clubs in the world can afford Mario Balotelli - like all premium players, and he is one of the greatest.
"[Will the move happen?] Anything is possible."
But veteran coach Wenger has moved to calm excitement regarding the possible arrival of the Italy forward despite the Gunners' urgent need for striker cover.
When questioned on a move for Balotelli by beIN Sports, he said: "No. No, that's pure invention.
"We cannot believe absolutely everything that is on internet or is in newspapers. Sometimes it's created by agents or by press who need news. But in this case, it's not true."
Wenger has previously looked to keep his transfer dealings close to his chest, but with just Olivier Giroud and inexperienced pair Yaya Sanogo and Joel Campbell as options up front, a new forward is almost certain to be on his radar.