"Jamie Vardy is, at the moment, at Leicester and from what I know, he will stay at Leicester," Wenger said in an interview with a Chinese television channel.
Arsenal had triggered a release clause in his contract with a £20m bid some time back and reportedly the striker has had a word or two with the Gunners.
But on Saturday, Vardy -- who is currently away in France playing in Euro 2016 for England -- insisted he was not thinking about his club future as of now.
"I'm just here completely focusing on England and that's all I want to do at the moment," said the 29-year-old.
"We're here to represent England and that's all I want to think about."