The 47-year-old Frenchman, who joined Arsenal on 30 September, felt it was time to speak after being told by the Premiership leaders that the club had been beseiged by inquiries from press and public.
"If something comes out that is wrong, I will attack," he said. "It is a serious matter if you can just create things that are not right. I am not aware of any allegations.
"Nobody who knows me will tell you anything bad about me. I believe you have to respect people in their private life and I have one like everybody else."
Wenger's impromptu declaration followed a bizarre series of events during which an item of idle gossip became viewed as fact. It began with a conversation between a trader in the City of London and a friend with access to one of the information services which supply financial data to the trading floors.
They also carry brief details of sports news and the trader's friend, misunderstanding the conversation, released an allegation about Wenger on the service. It was quickly removed but it was already too late. The culprit responsible for releasing the allegation has since personally apologised to Arsenal.
Wenger, perhaps wishing he had the protection of his own country's strict privacy laws, added: "I do not have to explain anything, but I am sad because Arsenal should be respected and so should I. If you want to know, I have a girlfriend in the south of France who I have lived with for three years. I am very disappointed with the attitude the media here takes."
Mysteriously, a leading bookmaker revealed that two weeks ago they began to be inundated with punters wanting to wager that his exit was imminent.Reuse content