Working in mainland Europe for most of his career, the Sporting Director is very familiar with the concept of transfer windows, while it is still pretty new to English football having been introduced only a couple of seasons ago.
The rumour mill is currently going into overdrive with the January opportunity to buy and sell players and the Dane reveals the stream of stories and links has taken him by surprise.
"No, never," he responded, when asked if he had encountered similar before. "Sometimes you have to kill some stories as they are not good for the players or clubs. Mostly, my opinion is to ignore it and go on with your work.
"Of course it can be fun to read, but if we had signed all the players we have been linked to we would have three squads playing for us and one squad having left us.
"Everybody loves football and that is why it is important for the newspapers to carry the stories - and that is alright with me.
"I prefer, when we talk about the buying and selling of players, to not comment before it is happening because this is of benefit to the club."
Frank, who is broadly an advocate of the windows, feels the system is weighed slightly in favour of the clubs, who can achieve the stability of knowing which players they have for the period of transfer inactivity and is a big fan of the short-term loan arrangements that are possible in this country.
"I think it is not bad. For the players it is maybe not so good because the benefit of it is maybe for the clubs because after September 1 until January 1 you can't do anything, players can't leave and you have a stability.
"Players who are not playing cannot change clubs, but they can go on loan so, overall, I think it is alright to have the windows.
"This is the first time I have experienced the loan regulation and I think it is tremendous. All countries should have it because it especially benefits young players.
"It is marvellous that players like Marney, Hughes, Yeates and Jackson can go out on loan. You know you can afford to do it because you can get them back and it is much more flexible.
"We can see them play competitive football and it is a great system."
Frank Arnesen admits he has not experienced before anything like the welter of speculation that accompanies the transfer window in England.