Saviola's agent Alfredo Cabrera Brizuela had previously claimed Wegner was looking to sign him from Barcelona.
But Brizuela's comments have come up short and Wenger has confirmed he is not interested in the Latin American star.
"We are not interested in Saviola at all," said Wenger in The Guardian. "I have enough forward players."
Saviola made more than 100 appearances for the Catalans but struggled to impress under coach Frank Rijkaard.
He had successfull loans at Monaco and Sevilla but the 1999 South American Footballer of the Year still couldn't impress Barca's Dutch coach.
Saviola was among a number of high-profile players recently linked with The Gunners, who have already landed Czech international midfielder Tomas Rosicky from Dortmund.
"We have bought Rosicky. We have (Freddie) Ljungberg, (Robin) van Persie, (Jose Antonio) Reyes, (Thierry) Henry, (Emmanuel) Adebayor, (Theo) Walcott, (Nicklas) Bendtner, (Jeremie) Aliadiere and (Arturo) Lupoli," Wenger said.
"Where do I put the strikers?"
While Wenger might feel confident enough to joke about his front line, Arsenal may be looking to bring in a new defender after Sol Campbell's exit and the uncertainty over Ashley Cole's future.
A number of injuries have also left the Arsenal suffering, and Wenger has said he would like to sign on of West Bromwich stopper Curtis Davies but the asking price of £10 million was "too high."
"We still want to strengthen our squad at the back," Wenger added.
"We have lost [Philippe] Senderos now for the next three months and we have injuries. [Johan] Djourou has been injured. [Gael] Clichy is injured.
"I have not made an inquiry and I have not made a bid but I like Curtis Davies."
Arsenal also has the opportunity to profit from Italy's fallout, an option Wenger has previously addressed, claiming wage issues may keep the Premiership club out of the race for some of the bigger names, especially Juventus' stars.
"They are in Serie B, with a 30-points deduction. That means, in fact, Serie C," the Frenchman said.
"I cannot see their interest in having a team that are all above 30. I cannot see what kind of interest they could have to keep players out on loan.
"When they come back to them, if they make it in two years, they could be finished."