The Gunners have been linked with a move for the Argentinian during the ongoing transfer window.
However, the 23-year-old has insisted that he plans to remain with the Belgian club until the summer at least.
"I will not leave Anderlecht in the winter transfer window, not even if Arsenal make a move for me," Suarez told Sporza.
"I want to help the club achieve their goals this season. Things have been going pretty well, and we can achieve some great things.
"I don't want to let the club down now. If I leave Anderlecht, it won't be during the winter break."
Suarez has a contract with Anderlecht that runs until 2015.