Reports have suggested that big-spending PSG were lining up a move for Wenger to replace Carlo Ancelotti at the Ligue 1 club, with the Italian linked with a move to Real Madrid.
However, Wenger insists he has had no contact with PSG and has reaffirmed his commitment to Arsenal.
Wenger also went on to praise the work done by Ancelotti in the French capital with PSG in line to secure the Ligue 1 title.
"I have had no contact with PSG," Wenger told beIN Sport. "Carlo Ancelotti has done a good job and I do not see why he would leave the club by viewing the quality of his work this season.
"I followed their season. They have built their success on a form of individual superiority and the collective one that they found through the Champions League. In Ligue 1, they had a quite difficult journey.
"And for my part, I have a contract with Arsenal, where I have served for 17 years and I do not see myself leaving the club like a thief and not respecting my contract."