The France striker, 27, has been repeatedly linked with a move to the Emirates but is thought to be available for transfer under new Real boss Rafa Benitez.
But while Wenger did not deny his interest in Benzema he insists a move is not on the cards.
"I don't know where that story has come from," he said. "But that's not happening at the moment."
GETTY
Arsenal have been linked with a £40m bid for Real Madrid star Karim Benzema
Wenger did reveal that striker Yaya Sanogo, 22, will go out on loan this season with Ajax interested.
"He will go on loan, I believe he needs to play," he added.
"He's ready and he'll get an opportunity to play in the Champions League."
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