The 30-year-old failed to make an impact for Arsenal last season and his contract with the Gunners is set to expire at the end of the season.
“They are things invented on the internet,” he told the Evening Standard.
“More than one time I have said that this season I will play in Arsenal colours. I would not play for Real Madrid for all the money in the world.
“For me, Real is a complete taboo because I’m an admirer of Barcelona.”
When asked about a move to Anzhi, he told Sport Express newspaper: “I’ve already said, and can only repeat, that this season I will be at Arsenal.
“I haven’t received any proposals from Makhachkala. I have not had any contact with the club or its representatives.”