Arsenal boss Arsene Wenger made the Real Madrid striker his top striker target while United made it clear they were keen on the France international during negotiations with the Spanish club over David De Gea.
But Benzema said: "There was nothing in the talk of a transfer away from Madrid.
"I'm happy at my current club, it's the best in the world. I'll continue to work here and be happy where I am."
GETTY
Theo Walcott has told England's emerging young stars to prove themselves on loan
Walcott is celebrating ten years as a Three Lions international and believes regular football in his teens was key to his progress.
"Maybe some English players are not getting opportunities, but it is important to go out and get experience in the lower leagues," he said.
"I was doing that when I was younger. It has worked well for me now. It is important to play football. We all play in the best league and people want to play."
Jurgen Klopp Manager Profile
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