Arsenal boss Wenger is lining up Bordeaux’s £45m-rated Brazilian forward Malcolm as a replacement for Alex Sanchez, writes The Mirror.
The Gunners boss will refuse to sell the Chilean until a replacement is lined up though.
Manchester City have held discussions with Arsenal over Sanchez but have been told they want to get a deal done before they will sanction any move.
The Brazilian has scored seven goals in Ligue 1 this term with four more goals created for his team-mates.
But Arsenal are looking around and have other targets in mind knowing the fans will be upset if they allow Sanchez to go without getting in a new signing.
Meanwhile, City midfielder Kevin de Bruyne told the BBC that Sanchez would "add something to the team" should he join Manchester City this month.
Arsenal accepted a £60m bid from City for the Chile forward, 29, on deadline day in August, but the deal collapsed.
City planned to sign Sanchez for free when his contract expired in the summer but Gabriel Jesus' two-month absence with a knee injury may expedite a deal.
"If he comes, he will add something to the team," said the Belgium playmaker.
"He is a very good player," added the 26-year-old. "Obviously we will see what happens."
Arsene Wenger insisted on Tuesday that Arsenal had not received any offers for Sanchez in January but speculation over the Chile international's immediate future persists and De Bruyne appears confident Sanchez will become a City player sooner or later.
Over at City, the Manchester Evening News reports that Pep Guardiola will turn to Raheem Sterling and Bernardo Silva as makeshift strikers if he fails to land Alexis Sanchez this month.
With Arsenal reportedly holding out for £35m, it is a case of how high City are willing to go to sign a player who will be available on a free in the summer.
But Guardiola is adamant he has alternative options - insisting he will protect Sergio Aguero while Gabriel Jesus recovers from knee ligament damage.
Both Sterling and Bernardo were deployed at the point of City’s attack in their 2-1 Carabao Cup semi final first leg win against Bristol City on Tuesday, with neither finding the back of the net.
It was left to Kevin de Bruyne and substitute Aguero to complete a second half fightback after the Championship side had taken the lead through Bobby Reid’s 44th minute penalty.