The Gunners are believed to be looking to sign a new shot stopper after back-up goalkeeper Vito Mannone joined Sunderland last month.
However, Marchetti, who has nine caps or Italy, is not aware of any interest from Arsenal.
“I know nothing about Arsenal,” Marchetti told Sky Sport Italia.
“I’m having a holiday and only thinking about relaxing. And then there is the president, who knows what to do.”
Marchetti has racked up 64 Serie A appearances for Lazio after joining the Rome outfit from Cagliari in 2011.
The Italy international was part of Cesare Prandelli’s side which reached the semi-finals of the Confederations Cup last month.