Reports have claimed Arsenal are ready to take advantage of the situation by snapping him up in a £20 million deal, which is £15 million less than his release clause.
Growing speculation that the Gunners have made a move for Cazorla’s services have forced Malaga to come out and maintain that they do not wish to sell their star player.
"Cazorla is not for sale, we do not talk about rumours in the press and our plans are not to even negotiate his exit," a club source told Sky Sports.
Despite their wealthy Qatari owners, Malaga have been hit with financial issues in recent months which have seen some of their players, including Cazorla, go unpaid.
Reports also suggest that Villarreal are still owed money on the deal which took him to the club last year.
Malaga have until the end of July to resolve any such outstanding financial issues and say they expect to have their financial issues resolved soon.