The Portuguese made the comments on Friday but Wenger was keen to deflect the attention after his Gunners beat Liverpool 2-1 in the fifth round of the FA Cup on Sunday.
The Frenchman said: "I am embarrassed for him, honestly.
"First of all I would say that I didn't speak about him at all in my press conference, and I have no more to say... I am more disappointed for Chelsea than for me.
"I am not interested in the subject at all, and that is really genuine. If you are interested, and you have nothing better to do in your life, you are free to do it.
"But honestly, I cannot force my interest in things that are not interesting for me. I love football and I'm sorry to disappoint you, but what interests me is what happens on the pitch."
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