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The Gunners boss would not rule out a future bid for the Algeria international, who recently announced his intention to leave the King Power Stadium for a new challenge.
Mahrez shone for Leicester in 2015/16 as his dazzling form won him the PFA Player of the Year award and guided the Foxes to the most unlikely of Premier League title victories.
Arsenal were linked with him that following summer, but he opted instead to sign a new contract with Leicester for the time being.
Now, however, the 26-year-old looks set to move, and this may have sparked renewed interest from Wenger, though he seemed keen to give nothing away.
Speaking to beIN Sports, the Frenchman said: ‘Have we made a bid for him? No, not yet.
‘Not yet means it can happen and not happen.