"I don't feel in connection with (the Manchester City bid) at all because we live in a football club which lives in the real world," Wenger was quoted as saying on Arsenal's website on Thursday.
"The implications (of the transfer fee) would be a disturbance on the market. Inflationary trend in a deflationary world," the Frenchman added.
AC Milan's TV channel said earlier on Thursday that the Italian Serie A club was considering an offer from Premier League City for the 26-year-old Brazil playmaker.
"We are in a world where we live from three kinds of income -- gate receipts, the sponsors and the television money," Wenger said. "That is the real world of football."
"Manchester City are in a different world because they do not live with their income."
City manager Mark Hughes, who works for the richest club in the world after a takeover by the Abu Dhabi United Group, told reporters on Thursday a deal to sign Kaka was still on.
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