The former Netherlands coach has attempted to persuade the Hamburg director of football to join him at the cash-rich Dagestan outfit
It has been suggested that the former Netherlands coach had contacted the Dane about a potential move to Anzhi after Die Rothosen sold Turkey international Gokhan Tore to Rubin Kazan this summer.
Despite the rumours linking Arnesen with Anzhi, he has distanced himself from the reports by insisting he is focused on his job with the Bundesliga side.
"I think about nothing apart from Hamburg. It does not interest me at all. I'm at Hamburg."
The Dagestan outfit have made their ambition clear in recent years, having signed the likes of Samuel Eto'o and Yuri Zhirkov from Inter and Chelsea respectively.