The Gunners forward had said Lloris would "quite like to" sign for Arsenal but the Spurs keeper has moved quickly to nip any potential controversy in the bud.
"I think maybe some words were twisted, but it is embarrassing," Lloris told Tottenham's official website.
"I don't think that, I'm very focused on Spurs' ambition and I am very pleased for Spurs.
"I have too much respect for the club and the Spurs fans to think that kind of thing.
"Of course I know him very well because we are teammates in the national team - the same with Laurent Koscielny - but I am a Spurs player and I'm very proud to play here."
The 27-year-old France international has spoken previously of his desire to play Champions League football.
And with Tottenham facing a real battle to make the top four amid stiff competition at the top of the table, speculation has surfaced linking Lloris with a move this summer.
It would have been a hugely controversial switch - not many make the move from Arsenal to Tottenham or vice versa.
Sol Campbell is the most famous modern example, but few dare to risk angering the fans to such an extent.
Arsenal take on Manchester United at the Emirates Stadium tomorrow night while Tottenham take the trip up to Newcastle to face Alan Pardew's side.
Tottenham currently sit fifth in the Premier League table, three points away from Liverpool in fourth while Arsenal sit second.