Arsenal are set to make some significant changes to the squad after a disappointing end to the season, with Aaron Ramsey saying at the weekend that he expected "a few players in and out".
Arshavin, 30, was thought to be among those likely to depart, with former club Zenit St Petersburg having confirmed their interest in re-signing the player in April, but the Russia international has now claimed Wenger wants him to stay.
"The manager wants to continue working with me," Arshavin said in The Sun.
Meanwhile, Alex Song feels the key for Arsenal next season is to improve their mental approach to games.
"We had a lot of injuries this year, which was not easy, we missed a lot of players," Song told the Mirror. "Sometimes we get on the pitch and we think 'this game will be won easily' - that is something that we have to change because when you think you are going to win a game, and you don't, it knocks the team.
"You can't play a game against Manchester United and lose against Bolton in the game before that. I think we need to have the same mentality whether we play Bolton or Manchester United. I think we need to learn from this to be ready for next season."