The Arsenal boss has seen a number of his squad depart to the City revolution taking place at the Etihad Stadium in recent seasons.
Whilst most of the deals have met with his approval, the recent signing of Samir Nasri has left a bitter taste in Wenger's mouth.
Now the link with Van Persie has further irked Wenger, who has dismissed claims that his Dutchman would be available.
Van Persie has recently stated he was not looking to sign a new deal, with his current contract due to expire in less than two years, and it is this that has ignited speculation about his future.
But Wenger is clearly not amused, as he said: "Anybody who wants to sign one of our players, everybody has my phone number and can call me.
"I never said I was unhappy with Man City but I don't know why we speak about transfers. I will never answer any more.
"Robin is under contract until 2013. This is a story created to create a story. There is no truth in it."
Wenger insists he would not sell in the January window no matter what, and also pointed to City's riches in the striking department.
"Why should we sell players in January?" he said.
"Man City already have problems because they have too many strikers, they pay half of the league for them to play away somewhere. Why should they want to buy strikers? It's very difficult to understand."
Wenger is also annoyed City are able to loan Emmanuel Adebayor to Arsenal's north London rivals, Tottenham, by paying most of his wages.
"I know the salary of Adebayor," Wenger said.
"I don't know who pays it but somebody must pay it. I don't agree with the rules but my job is to adapt to the rules.
"If the Premier League wants my opinion, I will give them my opinion with pleasure."