It has long been suggested that the pair have a strained relationship in the Madrid dressing room, with the problems cumulating over the last 12 months.
However, Arbeloa has denied such speculation and said that he has "tremendous respect" for the experienced goalkeeper.
"No, it's something that's been talked about more than enough," Arbeloa told Marca.
"There's no problem. Iker and I give it our all out on the pitch for Real. I have tremendous respect for him; he is my captain. As a teammate, I feel the same respect that he has for me. I'm only thinking about the Champions League."
Madrid face Atletico Madrid in the Champions League final this weekend.