Speaking ahead of the clash with Braga in the Europa League on Thursday night, Nuno refused to discuss any links to the Gunners and insisted it would be disrespectful to Unai Emery.
The 45-year-old has been installed as the bookmakers' favourite to replace under-pressure Gunners manager Emery at the Emirates Stadium.
Nuno has taken Wolves from the Sky Bet Championship to the Europa League since being appointed in May 2017.
Wolves sit fifth in the Premier League, a point ahead of Arsenal, and have lost once in their last 13 games in all competitions.
Emery's position at Arsenal has come under increased scrutiny following Saturday's 2-2 draw with Southampton, which left them eighth in the Premier League, but Nuno would not be drawn on the speculation.
Instead he remains focused on the job in hand with Wolves.
"We are doing OK, there is a lot of room to improve, it requires a lot of work but this is what we have been doing since day one when we started in the Championship," Nuno said.
"There are no distractions at all. I don't talk about possibilities, I don't talk about things which are not real, what is real is that we are here, we have to train and prepare ourselves."
Reports are rife suggesting that Emery has been given two games to save his job, and there is a real chance that Arsenal could soon be looking for a new head coach.
If that is the case then Wolves will be bracing themselves for interest as Nuno's name looks sure to be very high on the wanted list.
The Portuguese may think differently if there is a vacant position at the Emirates Stadium and is sure to be tempted.
Goalkeeper Rui Patricio hopes he won't be as he believes it is vital Wolves hang on to Nuno if they want to fulfil their ambitions.