Speculation that Gazidis - who oversaw Emery's appointment to replace Arsene Wenger is May and has also been behind the change in management structure at the Emirates Stadium - will depart for Italy has intensified this week.
The 54-year-old has worked for the Gunners since 2009 and played a major role in introducing roles such as head of football relations Raul Sanllehi and head of recruitment Sven Mislintat.
Those appointments wrestled some power away from Wenger, whose 22-year tenure came to a close at the end of last season.
Emery has since taken the reins and has won his last two Premier League games after defeats to Manchester City and Chelsea at the beginning of the campaign.
But the Spaniard admits he is in the dark as to whether Gazidis will soon depart his post, bound for Serie A giants Milan.
"First of all, every conversation with him is speaking about us and about our work here every day. I don't know any other news from him," Emery said ahead of Arsenal's trip to Newcastle on Saturday.
"Every conversation with me is speaking about us. About our performance. About our ideas. Our process. Then, for his future we didn't speak. I think it's one question for him."
Arsenal return to action at St James's Park following the international break, with Emery's squad carrying no fresh injury concerns.
Emery is hopeful the club can now reap the benefit of Mesut Ozil's international retirement.
The 29-year-old retired from Germany duty under a cloud following their poor performance at the World Cup and politics within the camp.
He has been able to train with Arsenal throughout the recent international break and - ahead of Saturday's trip to Newcastle - Emery feels he has enjoyed a rest from playing.
"The players have the habits to play in the international break, in important matches, defending their identity and when one player is finishing that, I think it is also good for them to focus only on their team," he said.
"The reason for Mesut is important for me also, this focus every day with us, a relaxing three days off at the weekend. Mesut, like other players, works very well here and also working the ties and also together to improve things. Mesut, I look at him with the focus totally here."
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