The France right back is out of contract at the end of the season and has already turned down two offers to stay - one a 12-month extension on the same £60,000-per-week salary, the other a two-year deal, again on the same money.
"When I say I expect Sagna to stay, it's more that I want him to," admitted Wenger. "He wants to keep his options open, because he is at the end of a contract. He is 31, I can understand. Can he get more security elsewhere? You should ask him that.
"We are always in negotiations with him and we try always to be fair with him. I believe his future is here and any other decision would be wrong."