The Gunners recently sold Francis Coquelin to Valencia, while Alexis Sanchez could leave the club this month.
Wenger has not ruled bringing in reinforcements should more players leave.
"I don't rule it out - at the back, in midfield or upfront," Wenger was quited as saying by FourFourTwo,.
"We are open, we are in the market, we are active, but I don't want to give you news I can't confirm after.
"In this transfer market it's very difficult."