Reports in Italy have linked the Lazio goalkeeper with a move to the Gunners, who are also thought to be interested in Queens Park Rangers keeper Julio Cesar.
The 30-year-old told Sky Sport Italia: "I know nothing about Arsenal. I'm having a holiday and only thinking about relaxing. And then there is the president, who knows what to do."
Arsenal were previously linked to Marchetti in 2010 when he was at Cagliari.