The Gunners were reportedly set to clinch the signing of the Tottenham transfer target this week, with the 20-year-old flying in for a medical at the Emirates Stadium on Friday.
French newspaper L'Equipe had claimed the Atletico Mineiro winger had agreed personal terms with Arsenal, and was ready to put pen to paper on a five-year contract.
But, speaking after Arsenal's 3-1 pre-season victory over Nagoya Grampus in Japan on Monday, Wenger said: "That report is not true."
Bernard has been strongly linked with a move to Europe ever since he admitted to receiving five offers from teams wanting to sign him this summer.
As well as Arsenal, Borussia Dortmund, Tottenham Hotspur, Porto and Shakhtar Donetsk have been linked with the pacy winger.
He's set to play for Atletico Mineiro against Paraguayan club Olimpia Asuncion in the second leg of the Copa Libertadores on Wednesday night - the equivalent of the Champions League final.