Frenchman Wenger has once again faced intense scrutiny over his tenure at Emirates Stadium as another bid for the Premier League title has faltered in recent weeks.
Wenger is out of contract at the end of the season and reports have suggested that the Gunners are in advanced talks with Allegri to take over from the 67-year-old.
However, Allegri - speaking after Serie A leader Juventus defeated Crotone 2-0 on Thursday (AEDT) - insists that the rumours are mere paper talk.
"I won't deny or confirm anything," he told Mediaset Premium. "I am in sync with the club, now we have to focus on winning.
"At this time of the season the media always says I'm leaving, even when things are going really well."
Speaking before the Crotone match, Juventus chief executive Giuseppe Marotta reiterated his belief that Allegri will stay with the Serie A champion.
"Aside from the fact we have a contract with Allegri, I think there are still great targets we need to achieve together and our rapport is very good," Marotta told Mediaset Premium.
"There is no reason for him to leave Juventus as there is great mutual admiration and affection."
Allegri has won Serie A and the Coppa Italia twice with Juventus and led the club to the 2015 UEFA Champions League final.