Sagna's future at Arsenal has been the subject of speculation for some time with the full-back preparing to enter the final year of his contract at Emirates Stadium.
The 30-year-old admits he is keeping his options open and that he will make a decision on his future when he meets with Arsenal officials at the end of the season.
"Of course it makes me proud to read PSG are interested. They are a very attractive club," Sagna told Le 10 Sport.
"Personally I've not been approached by PSG. I don't know if they have contacted my agent or if these are rumours.
"At Arsenal, in the dressing room they tease me every day telling me I will leave to play at PSG, but it is speculation.
"I don't know what is going to happen. I could very well extend my contract here in London but equally I could leave at the end of the season. I only have one year left on my contract. We will see.
"At the moment I am fully focused on Arsenal. I don't know what will happen this summer.
"I have to see the directors again regarding an extension to my contract. Monaco would be a new challenge. I don't close any door to PSG, Monaco or Arsenal."