Newcastle owner Mike Ashley rejected Wenger's £20million bid in the summer for the former Lille midfielder, which led to Cabaye going on strike at the beginning of the season.
Pardew said: "I see the price quoted in the papers but it isn't our price. We don't want to sell him, of course we don't. He is the main man here and he's got the platform to be the main man at a big club and you don't get always get that.
"He should savour that and take it all the way to France and beyond to the World Cup because if he stays where is now he's going to be a major influence at the World Cup, I think.
"It's not strange they (Arsenal) were interested in Yohan but in the end they went with Ozil. That's been particularly good business for them, but I think the better piece of business was us keeping Yohan Cabaye. I'm only focused on my players."