The Arsenal manager has been linked with a move to the Ligue 1 leaders after a mixed season at the north London club.
But Wenger expects the Italian coach to stay at the Paris-based outfit, with the Gunners boss determined to see out his contract at Emirates Stadium.
“I have had no contact with PSG,” Wenger told beIN Sport. “Carlo Ancelotti has done a good job and I do not see why he would leave the club by viewing the quality of his work this season.
“I followed their season. They have built their success on a form of individual superiority and the collective one that they found through the Champions League. In Ligue 1, they had a quite difficult journey.
“And for my part, I have a contract with Arsenal, where I have served for 17 years and I do not see myself leaving the club like a thief and not respecting my contract.”