20-year-old Bernard, L'Equipe, is expected in London on Friday for a medical, featuring for his club in the final of the Copa Libertadores before flying to the UK.
The diminutive Bernard has five caps for Brazil and was part of the team's victorious Confederations Cup campaign earlier this summer.
But Wenger, speaking after his side's 3-1 win over Nagoya Grampus in a pre-season friendly, told reporters when asked about the deal: "That report is not true."
Arsenal have been bullish about their transfer plans this summer, but so far have only picked up French rising star Yaya Sanogo on a free transfer.
They have bid for Liverpool striker Luis Suarez, and been linked heavily with Gonzalo Higuain of Real Madrid and even Manchester United's Wayne Rooney.