Premier League clubs can still sell players to European teams until the end of the month despite the domestic window closing on Thursday, and Welbeck had been linked with a move abroad in search of more regular first-team football.
However, despite reported interest from Valencia, Emery is unwilling to sell the England international, revealing that only Carl Jenkinson, David Ospina and Joel Campbell are available to leave the Emirates.
"Yesterday, the window closed here in the Premier League. Today, we had a meeting with the players to close all the possibilities to bring more players," Emery told reporters.
"We only have three players: Carl Jenkinson, David Ospina and Joel Campbell, with the possibility to leave. But the other players are with us and we are going to work in the Emirates the day before the match with all the players."
Emery also confirmed that Welbeck will not feature in Arsenal's Premier League opener against Manchester City, having been part of England's squad which made it to the semi-finals of the World Cup this summer.