Wenger has left Arsenal after 22 years as manager and is pondering his next move.
He revealed he will take some time to rest before coming to a decision and could still remain in management.
But one move being floated was stepping into a director role at PSG with Thomas Tuchel recently being appointed the new manager.
However club president Nasser Al-Khelaifi insists they have a sporting director, and he’s staying put.
Speaking to L’Equipe, Al-Khelaifi said: “He is a close friend, I have a lot of admiration and respect for him and everything he has done in football.
“He’s a big man. This is one of the first people I spoke to before buying the club, and he told me one thing that I never forgot: ‘You buy a diamond and it will be cut and shined’.
“I do not know what he will do, but he will have a lot offers. Today, the sports director of PSG is Antero Henrique and he will stay.”
Wenger’s move into the unknown has seen him linked with a host of jobs and he insists he will keep working.
Another option could be Monaco if Leonardo Jardim moves on, with Chelsea and Arsenal having an interest in him.
However Arsenal look set to appoint Mikel Arteta as Wenger’s successor while Chelsea are closing in on a deal for Luis Enrique.
Arteta could be announced as the new Arsenal boss as early as this week after impressing in initial talks.
The club have been keen to interview a number of candidates and are believed to be speaking with Thierry Henry today but Arteta is the big favourite.