Reports have claimed that Arsene Wenger is in the market for a new keeper and he has been linked with a bid for Queens Park Rangers' Brazil international Julio Cesar.
However, reports in Italy have claimed that the Gunners have made an enquiry for Marchetti, who has recently been on Confederations Cup duty with the Azzurri.
The 30-year-old is unaware of the rumours concerning his future and is heading off on holiday before returning for pre-season training.
"I know nothing about Arsenal," Marchetti told Sky Sport Italia.
"I'm having a holiday and only thinking about relaxing. And then there is the president, who knows what to do."
Arsenal were linked with a £5.5million bid for Marchetti three years ago when the keeper was still on the books of Cagliari.
He joined Lazio in 2011 and he has established himself as one of the most consistent keepers in Serie A during his two seasons at the Stadio Olimpico.