The Sweden international was reportedly a target for the Turin outfit, however Wenger has not spoken to anyone from the club and is bemused by the talk.
The Frenchman sees the 27-year-old, who is set to return to action following a hand injury, as a key squad member and wants to keep him at Highbury for as long as possible.
"Of course I'm very surprised to hear that," said Wenger on the Ljungberg rumour. "I have had no contact with anybody.
"I want to keep Freddie at Arsenal. He is not on the market. I can't see how this leak has come out. It's completely wrong about Juventus."
Meanwhile, Wenger is keen to sit down with Dennis Bergkamp, who is out of contract in the summer, and sort out his immediate future.
The Dutch master has indicated he would like another season with The Gunners, although Arsenal have hinted he will need to reduce his current wages.
"Bergkamp can still be here, but we have got to sit down with him and see how he feels. I hope he will still be here," he added.
With the title in the bag, Wenger has stated he will give fringe players a chance to make the 10 appearances required to earn a Premiership medal.
The likes of Jose Antonio Reyes, Kanu, Jeremie Aliadiere and Martin Keown are just short of the amount of displays needed to qualify for the honour.
"I will try to give the players who have missed games the chance to get a medal, especially Martin Keown," he continued.
"Keown was very influential in our season and a very impressive guy. We want to play our games well and to keep the party going.
"We need to concentrate on the quality of our football to keep everybody happy."
Meanwhile, Wenger again reiterated what a talent the club have in new signing Robin van Persie who will arrive from Eredivisie side Feyenoord.
"Van Persie is a great talent with great potential," Wenger said on the club's newest signing. "We have to give him an opportunity to become a great player.
"I feel he has a special talent that not everyone has."