Reports earlier today claimed that Arshavin had been granted a work permit but Wenger added further mystery to the most protracted transfer in the January window when he said: "We have not applied for a work permit yet for anybody, not for Arshavin and not for anybody else.
"We have respect for each other," added Wenger of the dialogue between Arsenal and Zenit St Petersburg, "and that's it.
"Whether we are close or not has little meaning – it does not matter how close you are, what is important is that you agree. At the moment, we have no agreement with anybody for any transfer.
"We are always confident; we try our best and respect our budget. If we can find an agreement, we will do it, if we cannot we will not overspend what we have planned to do."
Wenger's denials suggests that another club may have requested a permit for the talented forward Â Spurs have been linked with another move for Arshavin having failed to sign him last summer.
Wenger, though, admitted that he remains keen on Arshavin, adding: "When you go for a player it is because you want him. That's part of the decision and part of the negotiations is that you have to find agreement."