Allegri is among the rumoured candidates to replace under-pressure Arsene Wenger, who is out of contract at the end of the season and reeling after the Gunners were humiliated 5-1 by Bayern Munich in the first leg of their Champions League last-16 tie this week.
But the Juve boss insists speculation has not come from him and opts only to listen to any rumours.
Allegri joked to Sky Italia: "How is my English?
"I started learning before [my time at] Milan – now I have left it.
"They say I will go to Arsenal? You all say that, I just listen."
Allegri was speaking after his Juventus side won their 29th consecutive home Serie A match on Friday, thrashing struggling Palermo 4-1 courtesy of two goals and an assist from Paulo Dybala against his former club.
"The lads ended the first half 2-0 up despite not playing well," Allegri said.
"But we had a good game, even if we granted Palermo a few too many shots from outside the box.
"It was a league match and we got three points which are just as valuable as the ones we got against Inter.
"It is one game less to winning the Scudetto and I congratulate the lads for the way they approached the game."
Juve are back in action with the first leg of their own Champions League tie away to Porto next Wednesday.