The Ligue 1 champions were reportedly keen on Wenger replacing Carlo Ancelloti this summer, but instead appointed Laurent Blanc on a two-year deal.
Wenger insists that his "heart is with Arsenal" and claims that he is committed to staying at the club for much longer.
"The link is because I'm French and I know the owners," Wenger told reporters.
"But if that was the case, then I would be there already. My heart is with Arsenal. I am committed to staying longer at this club.
"We had already a chat with Ivan [Gazidis, the chief executive]. It went very well - not a problem."
Wenger took over at Arsenal in 1996 and is the current longest-serving manager in the Premier League.