Mikel Arteta is understood to be targeting a new striker before the end of the window, however, Arsenal are restricted in the transfer market due to Financial Fair Play concerns.
Benzema, meanwhile, joined Al-Ittihad in June last year but is now looking to move on after just seven months in the Saudi Pro League.
Both Arsenal and Chelsea have been linked with a move for the Real Madrid striker this month.
But Fabrizio Romano is adamant that Arsenal have not made a move for the 36-year-old.
‘In the last 48 hours I’ve received many questions from Arsenal fans asking about Karim Benzema and Arsenal,’ Romano said on his YouTube channel.
‘From what I’m hearing, again today, there is nothing on going between Karim Benzema and Arsenal.
‘If something is going to change in the next days, if Arsenal will decide to sign Benzema I will be more than happy to let you know.
‘But as of today, Arsenal are not working on a deal to sign Karim Benzema, it is simply not true.
‘That’s the reality, I don’t want to sell you dreams. I know that the name of Benzema is exciting many fans around the world but as of today, from what I’m hearing, Arsenal are not working on this deal.
‘In the next days the situation between Benzema and Al-Ittihad remains very tense, it’s going to be one to watch in general but from what I’m hearing it’s not something concrete with Arsenal.’
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