The Russian Football Union (RFU) stressed Fabio Capello remains under contract with the national team.
Shakhtar Donetsk claim there has been no approach from Liverpool for in-demand midfielder Henrikh Mkhitaryan.
The Spain striker has been linked with the Gunners since the transfer window opened but Barcelona have consistently said they will not sell the striker.
Wenger said: "Barcelona don't want to sell, they've made that clear. I said they don't want to sell, I didn't say he was a target."
There have been no new arrivals at the Emirates this month despite Arsenal's position outside the top four and the departures of Marouane Chamakh and Johan Djourou.
Wenger said: "We are still trying, but it's hard to sign players in January who can improve you."
At his press conference to preview Wednesday night's game with Liverpool, the Frenchman also confirmed David Beckham was training with Arsenal - but said it was "purely for fitness".