After losing high-profile players such as Cesc Fabregas and Samir Nasri in the summer, the Frenchman is intent on keeping Van Persie at the Emirates.
"I never said I was unhappy with Man City but I don't know why we speak about transfers. I will never answer anymore," said Wenger.
"Robin is under contract until 2013. This is a story created to create a story. There is no truth in it."
However, Wenger thinks that City already have enough strikers with Sergio Aguero, Edin Dzeko and Mario Balotelli fighting for a starting place while Emmanuel Adebayor is on loan at Tottenham.
He added: "Man City already have problems because they have too many strikers, they pay half of the league for them to play away somewhere. Why should they want to buy strikers? It's very difficult to understand."
Arsenal travel to North London rivals Spurs on Sunday while City take a trip to Blackburn today (Saturday).