Patrick Vieira is linked with a £30m Real move
Reports have suggested the Frenchman will play his last game for the Gunners this week and sign for Real Madrid in the summer for £30m.
"We are supposed to have agreed a fee but we haven't spoken to anyone and they would get exactly the same answer," said Wenger.
"It is just a joke. We are used to that and we know there will always be some bad news ahead of a big game.
"We also know inside what is true, how much the players are committed to the club and how much they want to stay here.
"Of course I talk to him but that's internal. These reports are external. We can manage what happens inside the club but not outside the club.
"I feel personally that we have shown we keep the players together, especially the young players.
"I think the players want to stay at Arsenal as they feel they are in one of the top teams in the world and that's it."
Pressure
Earlier this week Vieira said he had yet to make a decision on his future and winning the double would have no effect on his future at the club.
Vieira said: "I will make my choice whenever I want. It is Arsene Wenger's desire for me not to leave.
"I respect his will, but it's me at the end of the day who'll decide."
"Winning the title won't make any difference to decisions about my future."
Vieira currently has two years left on his Arsenal contract.
"I don't care about the six years I've been here, but about what's going to happen in the future," Vieira added.
"There are still a lot of things to build here. Since I've been here the club hasn't stopped improving, we've always been at the top.
"The only thing that we miss is that extra something to win titles every year.
"But I don't worry because I'm sure we have the means to fulfil these aims in the future. At Arsenal, every player feels good in his head and doesn't have any pressure."
Arsenal won the FA Cup by beating Chelsea 2-0 in the final in Cardiff's Millennium Stadium last Saturday.