In an interview with Chinese television, Arsenal boss Wenger said: "Jamie Vardy is, at the moment, at Leicester and from what I know, he will stay at Leicester."
Sky sources understand the Leicester striker has talked with Arsenal after the Gunners triggered a release clause in his contract with a £20m bid.
On Saturday, speaking at England's 2016 training base at Chantilly, Vardy insisted he was not thinking about his club future.
Wenger made the remark to Chinese television
"I'm just here completely focusing on England and that's all I want to do at the moment," said the 29-year-old.
"We're here to represent England and that's all I want to think about."
