
The Kenya international was previously thought to be a target for Gunners boss Arsene Wenger before he joined the Saints from Celtic in 2013.
There were numerous departures from St Mary's a year ago and more players are expected to leave during the upcoming transfer window, despite a strong showing from Ronald Koeman's side in the Premier League this term.
Wanyama appeared to cast doubt on his own future when he revealed that Wenger has expressed an interest in signing him, while claiming that the prospect of UEFA Champions League football was enticing.
"To cut the story short have never spoken to Wenger."