The relationship between the duo is said to have hit an all-time low.
French manager left Real Madrid in June after winning three consecutive Champions Leagues.
Arsenal, meanwhile, could be monitoring as many as seven players at the World Cup.
The club could make its first signing of the summer this week.
Arsenal have named a new manager and Chelsea could be about to sign a new striker
The French striker completed a medical at the Emirates on Tuesday.
But the French manager has nevertheless reportedly failed in signing two Portuguese players.
The Gunners appear set for a busy summer in the transfer market.
Who's going where as the transfer window hits July?
Alexis Sanchez could be on the move.
The 18-year-old's development could stall at the Bernabeu.
The forward became Chile's all-time leading goalscorer on Thursday.
This summer is expected to be a record-breaking transfer window.
Lyon would prefer to sell to a rival club rather than Arsenal or another English team.
The Chilean forward's option are becoming limited.
Wenger has gone big in the transfer market. Was it too big?
The Frenchman faces the tricky task of trying to hold onto his players while signing big names.
Wenger has faced calls to resign.
Ozil has less than 18 months remaining on his contract.
Alvaro Morata has fallen down the pecking order at Santiago Bernabeu.
The Arsenal squad are strong in most areas.
The Arsenal manager is unwilling to sell either of his two best players.