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The British press recently reported that Benzema was offered to Arsenal, Chelsea and other English Premier League (EPL) clubs years ago, reports Efe.
During a press conference ahead of Tuesday's EPL match against Watford, Wenger explained that the press linked Benzema to Arsenal because the striker is a Frenchman.
"Because he's French! Maybe there are some noises that he would leave Madrid, but as I just told you, there is no need for us to buy any strikers," Wenger said, according to the club's official website.
"In the summer window? That's not my worry at the moment. My worry is the next game against Watford," the French coach added.
Wenger's remarks came two days after his team's 5-0 victory over Southampton in the FA Cup, when Theo Walcott scored three goals, and Danny Welbeck netted twice.