Huntelaar's contract with the Bundesliga side expires at the end of the season and he has been linked with a January switch to Emirates Stadium.
However, Schalke insist they are confident of keeping the striker and have played down the Gunners' chances of being able to afford him.
"There have been no offers or any sign of Klaas-Jan leaving," general manager Horst Heldt said in The Sun.
"If someone comes to us six months before the expiry date, and has a lot of money, we will deal with it.
"But from Arsenal circles we hear there is no money anyway."