However, Mundo Deportivo reported that he travelled to the French capital with both his girlfriend and his agent, reigniting speculation.
Journalist Nicolas Hortus revealed the Chilean worldwide spent the night in Paris as he looks for a move to a Champions League club.
Alexis Sanchez has suddenly got Arsenal fans very nervous after accidentally revealing that he is now in Paris, confirming reports that he flew to the French capital.
Arsenal forward Alexis Sanchez has reportedly flown to France for talks with Paris Saint-Germain this weekend.
Asked about Sanchez and whether he could provide an update on the situation, Wenger said: "No".
Sanchez has an abdominal strain and Wenger says he is likely to be "out for a while", ruling him out for the first two games against Leicester City this Friday and Stoke next week.
The ex-Udinese winger is being chased by Manchester City as well as Unai Emery's side, but he has been offered a new £300,000-a-week deal to stay on with the FA Cup champions.
Meanwhile, PSG have spent a world-record £200m on the signing of Neymar from Barcelona this summer, but reportedly want to strengthen their squad further. By January, however, Arsenal will have no choice over his future.