The Dutchman, who has said that he will not be signing a new contract with the Gunners, came on in the 69th minute of the club's 4-0 win over FC Koln and received a muted response from the fans.
Van Persie has been linked with several clubs, with Manchester United appearing to be at the head of the queue for the striker but Wenger says that the 29-year-old is still his player.
"There's no news on Van Persie," Wenger told The Sun. "Our fans want him to stay so you can understand they are excited. Anything I could say about van Persie would be a lie because he's our player and that's it.
"Robin scored 30 goals last season and you want to keep your best player. He was player of the year in England. We want to keep him. I cannot tell you more at the moment because I don't know more.
"We have not bought the players to replace Van Persie, but to strengthen our squad with the thinking Van Persie will stay. That's still my mind at the moment."