Balotelli is again underfire after a dismal showing for Italy in their World Cup defeat to Uruguay.
Wenger, appearing on beIN Sport's World Cup show, was asked by Ruud Gullit if he was buying the former Manchester City striker, but responded: "No. No, that's pure invention.
"We cannot believe absolutely everything that is on internet or is in newspapers.
"Sometimes it's created by agents or by press who needs news. But in that case, it's not true."
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