We consider joint optimization of artificial noise (AN) and information signals in a MIMO wiretap interference network, wherein the transmission of each link may be overheard by several MIMO-capable eavesdroppers. Each information signal is accompanied with AN, generated by the same user to confuse nearby eavesdroppers. Using a noncooperative game, a distributed optimization mechanism is proposed to maximize the secrecy rate of each link. The decision variables here are the covariance matrices for the information signals and ANs. However, the nonconvexity of each link's optimization problem (i.e., best response) makes conventional convex games inapplicable, even to find whether a Nash Equilibrium (NE) exists. To tackle this issue, we analyze the proposed game using a relaxed equilibrium concept, called quasi-Nash equilibrium (QNE). Under a constraint qualification condition for each player's problem, the set of QNEs includes the NE of the proposed game. We also derive the conditions for the existence and uniqueness of the resulting QNE. It turns out that the uniqueness conditions are too restrictive, and do not always hold in typical network scenarios. Thus, the proposed game often has multiple QNEs, and convergence to a QNE is not always guaranteed. To overcome these issues, we modify the utility functions of the players by adding several specific terms to each utility function. The modified game converges to a QNE even when multiple QNEs exist. Furthermore, players have the ability to select a desired QNE that optimizes a given social objective (e.g., sum-rate or secrecy sum-rate). Depending on the chosen objective, the amount of signaling overhead as well as the performance of resulting QNE can be controlled. Simulations show that due to the QNE selection mechanism, we can achieve a significant improvement in terms of secrecy sum-rate and power efficiency.