The Bundesliga side want £37million for the 20-year-old Germany attacking midfielder and are not keen on a player-plus-cash deal.
Gunners boss Arsene Wenger appeared to concur with Heldt, insisting after his side's FA Cup win over Coventry on Friday night that the story linking them with Draxler was "an illusion."
Speaking after Schalke's Bundesliga win at Hamburg on Sunday, Heldt suggested any questions over Draxler should be directed at the Arsenal manager.
"You should ask Mr Wenger, call him. There's no contact with Arsenal or any other club," said Heldt.
"I cannot exclude the option we will sign Cristiano Ronaldo. I don't need to talk about this.
"I understand why you are asking the question but all the topics you mention need to be addressed in London."