Footballer-turned-journalist Jan Aage Fjortoft announced through his Twitter account that the deal had been agreed on Friday evening, but Wenger says that is not correct.
"That is an illusion. There is nothing happening, honestly no. We don't need to take players on the flanks - we have 17 players on the flanks," Wenger told Sky Sports News after the 4-0 win against Coventry City in the FA Cup.
Reports have claimed that Draxler has a buy-out clause in his contract of around £35m.