The Germany international, who had been on the sidelines since October with an injury, was named as a possible target for Inter Milan during the summer window.
From the 25-year-old's point of view, the rumours had no foundation as he told reporters: "You like to get the shit, the biggest shit. That's your job. You are asking me about it, it's your job from the people outside, talking and thinking that they know everything.
"What happens in the changing room is the real thing. I don't understand why people just talk about things they cannot know about. If I have been talking to clubs or if I haven't, it's only rumours."
Mustafi scored the opening goal in Saturday's 2-0 victory over Tottenham Hotspur at the Emirates.