Gunners director Lord Harris has claimed that Arsene Wenger has the cash available to buy anyone other than Lionel Messi and Cristiano Ronaldo and has identified a striker.
Several English newspapers have now linked Benzema with a move to the Emirates.
However, speaking after Real Madrid’s 4-1 International Champions Cup win over Manchester City in Australia, Benitez dismissed those claims and said the Frenchman would remain at the club.
He said: “People are asking me about different players that maybe we will buy and I always say the same thing, ‘he’s not our player, I will not talk about that’.
“In this case, Karim is our player so I will not talk about that. I hope, I’m sure, that he will stay with us.”
Benzema gave Madrid the lead in Melbourne before goals from Ronaldo and Pepe put the Spanish giants 3-0 ahead.
Yaya Toure scored a penalty on the stroke of half-time before Denis Cheryshev rounded off the scoring for Madrid.
And Benitez was delighted with the attacking threat his superstar forwards posed.
“The main thing is the team, the main thing is to see all the team playing well,” he said.
“Obviously Cristiano, Gareth (Bale), Karim Benzema and Isco, all these players, if they play and find each other then the team will play much better and today that was the case.”