The Gunners had reportedly been speaking to the Italian giants about bringing in the former Manchester City striker, with Milan chiefs openly discussing a possible sale of the international striker.
The Daily Express reported at the weekend that Arsenal were told they could sign Balotelli for £29.5 million, claiming that the Arsenal boss was ready to press ahead with the purchase.
But Wenger, speaking on French television, categorically stated that the story is "not true".
"It’s pure invention," Wenger told Ruud Gullit while being interviewed on Bein Sport.
"We cannot believe absolutely everything that is on the internet or in the papers.
"Sometimes it’s created by agents or by press who needs news. But in this case, it’s not true."
Arsenal made failed attempts to sign both Luis Suarez and Gonzalo Higuain last summer, and with his limited attacking options Wenger is still strongly expected to bring in at least one new player up front before the start of the new season.
The squad will be boosted by the addition of Costa Rica's Joel Campbell, a key man in the landmark victories over Uruguay and Italy, who has been on the books in north London since 2011 but has spent the last three seasons on loan around Europe.
- Sports & Recreation