Holloway has insisted there is no chance of the player leaving the Championship club in January and moved to turn the tables by speculating on Gunners pair Alex Oxlade-Chamberlain and Theo Walcott.
"I am going to treat that with the contempt it deserves," Holloway said. "He is our player and has a four-and-a-half-year contract so don't speculate on speculation.
"Just because Arsenal might have said a week ago that they might like him, which I felt was disrespectful, it leads to all this.
"It would take a lot more than one player going to derail this, but no-one is going."
Putting the focus on Arsenal, Holloway said: "I like Oxlade-Chamberlain, he might help our promotion push. I like Walcott, he is out of contract in the summer, so why don't we go get him? Would you start the speculation about that? I don't think so, so you are wasting your time asking me [about Zaha]."