Striker Morata, 21, who starred for Spain's Under-21s in the summer has been tipped for a loan move to The Emirates in January.
"There is no truth in that. That is all I can say, I have not been in touch with them," said Wenger.
Former AC Milan star Pato was also touted to be a target for the Gunners, but Wenger also dismissed that rumour and instead focused on the impending return of striker Yaya Sanogo.
"We have at the moment Yaya Sanogo who is a striker we brought in during the summer who is coming back from injury in January so hopefully he will help us in the second part of the season," said Wenger.
Morata himself has also played down talk linking him with loan moves to the Gunners and Tottenham.
"I only think about succeeding at Real Madrid," he told AS.
"Every day I work hard to earn myself a place in the team, but I know that I have had the support of [coach Carlo] Ancelotti since the first day that he came here.
"To Jose Mourinho I owe a great deal for promoting me up to the first team and I will always have a special feeling towards him. He is an incredible coach."
Spanish daily Marca suggests that senior figures at Real Madrid have told them that Morata will not leave on loan in the winter transfer window and Morata only has eyes on following his idol Raul.
"Raul [Gonzalez] has always been a hero to me," Morata continued. "He is considered to be the best player in the history of Real Madrid and Spanish football.
"Cristiano [Ronaldo] is also a great player, out of this world, the complete player, the best. [Karim] Benzema is impressive also and I can learn a lot from him.
"Also, [Gareth] Bale is now showing what he can do and is one of the best players in the world and he was a great signing."