The Belgium international was linked with a 5.5million euros move to the Premier League club but Dembele was sceptical when asked about the speculation.
"At first I thought: Arsenal, that's nice," he told the Het Nieuwsblad newspaper. "But when I heard the amount, I reacted totally differently. I moved for 5.5 million from Willem II to AZ. So it was just a joke.
"If an interesting offer comes, I'll consider it.
"For this reason it doesn't have to be Manchester United or another big name."
AZ are closing in on the Eredivisie title and Dembele is excited at the prospect of playing in the Champions League next season.
"Why should I leave if we can maybe play the Champions League very soon?" he said.
"There's a chance that I will stay in Alkmaar."