The 26-year-old arrived at the Liberty Stadium in a £2million deal from Rayo Vallecano in the summer, and has made a scintillating start to life in the Premier League with 10 goals in 15 appearances for his new club.
Gunners boss Arsene Wenger is believed to be keen to lure Michu to north London, after he scored twice in the Swans' 2-0 victory at the Emirates Stadium on Saturday.
However, Jenkins insists that Michael Laudrup will be under no pressure to sell, promising fans that none of the club's top players will be leaving South Wales in the New Year.
"We'll be looking to strengthen in January, not to weaken our squad," he confirmed. "We'll make every attempt to make sure that happens.
"We felt we had him [Michu] at good value and with his goalscoring it's proved to be a good decision. We're very pleased with that one."
Swansea have stormed to 7th in the Premier League table, while Arsenal, by contrast, lie in a lowly 10th following defeat at the weekend.
Michu and co. will look to extend their recent run of good form when they take on Norwich City at home on Saturday, while the Gunners will hope to bounce back from last night's Champions League defeat against Olympiakos with victory over West Brom.