Monchi told English newspapers he is flattered by Arsenal interest, “but I am concentrating on my job with Roma.”
The director of football was the top name linked with the Gunners role to replace Sven Mislintat.
“I know my name is being associated with Arsenal, but I am concentrating on my job with Roma,” Monchi told The Sun.
“However, it is a pleasure being linked with a club like Arsenal - but it is not first time that happens.”
Monchi had already worked with Arsenal manager Unai Emery at Sevilla.
His contract with Roma runs to June 2020.