The Arsenal manager has been linked with a move to the Ligue 1 leaders after a mixed season at the north London club.
Current PSG boss Ancelotti is reported to be among the targets to replace José Mourinho at Real Madrid.
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.”
MORE: Man United latest news
MORE: Arsenal latest news
MORE: Chelsea latest news
MORE: Liverpool latest news