The Frenchman, who recently celebrated 20 years in charge of the Gunners, will come to the end of his current contract next summer.
The club's chief executive Ivan Gazidis claimed earlier this week that a decision has not been made regarding Wenger's future, but Cazorla would not be surprised if the 66-year-old was still at the helm next season.
"The truth is we do not have that feeling [that Wenger will be replaced] in the dressing room," The Mirror quotes Cazorla as saying.
"The boss has not indicated that this will be his last year. Not at all. He is fully focused on this season and I do not know what he is planning for the future.
"Today I do not rule him continuing another season because he has not said he will leave. It is in his hands and he is the one who has to make the decision but today I would say that he may continue."
Wenger, who has won three Premier League titles and six FA Cups, recently admitted that he could "one day" become England manager.