Pepe has played just 122 minutes of Premier League football since the start of October and it has led to him being linked with a move this January.
Newcastle, who Arsenal play on Saturday at Emirates Stadium, have been touted as a possible destination, while AC Milan have been mentioned too.
But asked if he would entertain any offers for Pepe, Arteta said: “No, and it is not the moment to talk about that either. We are interested in Nico performing at the level that he can do.
“He had some really good moments since I have been here, some moments where he hasn’t participated that much, like everybody else.”
Pepe could be in the starting XI on Saturday if Arteta rings the changes after last week’s defeat to Liverpool. Kieran Tierney is likely to come in at left-back for Nuno Tavares, while Martin Odegaard may replace Alexandre Lacazette in the No10 role.
Newcastle are bottom of the Premier League and still looking for their first win of the season.
Eddie Howe was appointed during the international break and the club are able to spend significantly in January given the financial clout of their Saudi Arabian owners.
Their recruitment drive could be reminiscent of Manchester City’s a decade ago, when they were taken over by owners from Abu Dhabi. The club made several signings from Arsenal, including Emmanuel Adebayor and Samir Nasri, but Arteta is not focusing on history repeating itself.
“I think players should stay at football clubs when they feel that they belong somewhere, when they feel important to it, when they feel value in every single aspect and when that’s the case normally players want to stay,” he said.
“When players start to decide something else, [it’s] because they need something different in their futures. Sometimes it is not financial, sometimes it is a sporting reason, sometimes it is family, a problem with adaptation, there are many different cases.”