The Gunners have sent a delegation to Germany to negotiate a deal before the end of the transfer window on Friday.
But with talks still ongoing between the clubs, Heldt is confident that Draxler will stay until at least the end of the season, and revealed that the forward has not said that he wants to leave Gelsenkirchen this month.
"I am very sure that Julian will play for us in the second half of the season - probably even longer," he told reporters.
"There is always anyone interested. We don't want to sell the player. He was nowhere near telling us that he wants to leave the club this winter."
Heldt even denied that he had been in talks with Arsenal about a deal: "I checked my office to see if somebody is sitting there but I didn't find anyone."
However, Goal understands that the two clubs are still locked in talks for the attacker, while Schalke are keen on finding a replacement before sanctioning a deal.
The Gunners have drawn up a contingency plan should they not close a transfer for Draxler, though, with Alvaro Morata and Miroslav Klose both identified as potential alternatives.