The 29-year-old was linked to a number of clubs after he fell out with the Newcastle United board and he had suggested that the Gunners were interested in his services.
"Peter Hill-Wood said they never had any serious interest in me, I just don't understand," he told The Sunday Mirror. "The dialogue between him and his coaching staff has broken down so severely that he doesn't know what's going on at his football club.
"I don't know [why Hill-Wood said that]. Fair enough if I was claiming to sign for Real Madrid or Barcelona or Manchester City or Manchester United, but I don't think it's that big of a shout to say Arsenal were after me because it's definitely a club in - what shall I say? - transition."
Rangers resume their Premier League campaign on Saturday at home to struggling Blackburn Rovers.