The Gunners have failed to win in their past six fixtures under Emery, and a host of names have been linked with his job in recent weeks.
Santo has recently emerged as a leading candidate to replace the Spaniard, as Arsenal’s director of football Raul Sanllehi enjoys a close relationship with Nuno’s agent Jorge Mendes.
But Santo has refused to comment on something that is not yet a “reality”.
“You know me well enough. You know I’m not going to answer about that and mention an issue that is not a reality,” Santo said, when asked to comment on the Arsenal speculation during a press conference on Wednesday.
“We’re doing OK. There is a lot of room to improve as a group as a team. This is what we want to do, all together.”
On whether the speculation has affected Wolves’ preparation for Braga, he added: “It’s not a distraction, at all. There are no distractions at all.”